Arbeitspapier

The real-time properties of the Bank of Canada's staff output gap estimates

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We study the revision properties of the Bank of Canada's staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S. Alternatively, revisions from purely statistical methods to estimate the gap have not experienced the same drop in magnitude. We then examine the usefulness of real-time gap estimates for forecasting inflation and find no deterioration in forecast performance when inflation projections are conditioned on real time rather than on final estimates of the gap.

Language
Englisch

Bibliographic citation
Series: Bank of Canada Staff Working Paper ; No. 2016-28

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Classification Methods; Cluster Analysis; Principal Components; Factor Models
General Aggregative Models: Forecasting and Simulation: Models and Applications
Business Fluctuations; Cycles
Subject
Potential output
Central bank research
Econometric and statistical method

Event
Geistige Schöpfung
(who)
Champagne, Julien
Poulin-Bellisle, Guillaume
Sekkel, Rodrigo
Event
Veröffentlichung
(who)
Bank of Canada
(where)
Ottawa
(when)
2016

DOI
doi:10.34989/swp-2016-28
Handle
Last update
10.03.2025, 11:42 AM CET

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Object type

  • Arbeitspapier

Associated

  • Champagne, Julien
  • Poulin-Bellisle, Guillaume
  • Sekkel, Rodrigo
  • Bank of Canada

Time of origin

  • 2016

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