How Accurate are Real-Time Estimates of Output Trends and Gaps?

Real-time estimates of output gaps and trends are important tools for macroeconomic analysis. But how accurate are estimates of real-time gaps and trends? This article discusses the problem of estimating gaps and trends in real time and constructs measures of their precision. The analysis is based on band-pass filtering methods augmented with univariate forecasts. The empirical analysis suggests that there is considerable uncertainty associated with real-time estimates of trends and gaps.

[1]  J. V. E. Azevedo.  A Multivariate Band-Pass Filter , 2008 .

[2]  Separating the Business Cycle from Other Economic Fluctuations , 2005 .

[3]  T. Lapp.  The Greenspan era: lessons for the future , 2005 .

[4]  R. Startz,et al.  Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach , 2004 .

[5]  Andrew T. Levin,et al.  Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck? , 2002, Review of Economics and Statistics.

[6]  A. Harvey,et al.  General Model-Based Filters for Extracting Cycles and Trends in Economic Time Series , 2003, Review of Economics and Statistics.

[7]  Athanasios Orphanides,et al.  Robust Monetary Policy Rules with Unknown Natural Rates , 2002 .

[8]  Athanasios Orphanides,et al.  The Unreliability of Output-Gap Estimates in Real Time , 2002, Review of Economics and Statistics.

[9]  J. Stock,et al.  Prices, Wages and the U.S. NAIRU in the 1990s , 2001 .

[10]  Olivier J. Blanchard,et al.  The Long and Large Decline in U.S. Output Volatility , 2001 .

[11]  Athanasios Orphanides.  The Quest for Prosperity Without Inflation , 2000, SSRN Electronic Journal.

[12]  Chang‐Jin Kim,et al.  Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle , 1999, Review of Economics and Statistics.

[13]  Marianne Baxter,et al.  Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series , 1995, Review of Economics and Statistics.

[14]  Athanasios Orphanides.  Monetary Policy Evaluation with Noisy Information , 1998 .

[15]  David F. Findley,et al.  New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program , 1998 .

[16]  J. Stock,et al.  Business Cycle Fluctuations in U.S. Macroeconomic Time Series , 1998 .

[17]  Margaret Mary McConnell,et al.  Output Fluctuations in the United States: What Has Changed Since the Early 1980s? , 1998 .

[18]  J. Stock,et al.  How Precise are Estimates of the Natural Rate of Unemployment? , 1996 .

[19]  Kenneth N. Kuttner.  Estimating Potential Output as a Latent Variable , 1994 .

[20]  R. Fildes.  Forecasting structural time series models and the kalman filter: Andrew Harvey, 1989, (Cambridge University Press), 554 pp., ISBN 0-521-32196-4 , 1992 .

[21]  Robert Fildes,et al.  Journal of business and economic statistics 5: Garcia-Ferrer, A. et al., Macroeconomic forecasting using pooled international data, (1987), 53-67 , 1988 .