Arbeitspapier

Estimating the Output Gap in Real Time: A Factor Model Approach

An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces errors in the gap due to data revisions. The model's ability to handle the unbalanced arrival of data, also yields favorable nowcasting properties and thus starting conditions for the filtering of data into trend and deviations from trend. Combined with the method of augmenting data with forecasts prior to filtering, this greatly reduces the end-of-sample imprecision in the gap estimate. The increased precision has economic significance for real time policy decisions.

ISBN
978-82-7553-477-2
Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 2008/23

Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
Monetary Policy
Central Banks and Their Policies
Thema
output gap
real time analysis
monetary policy
forecasting
factor model

Ereignis
Geistige Schöpfung
(wer)
Aastveit, Knut Are
Trovik, Tørres G.
Ereignis
Veröffentlichung
(wer)
Norges Bank
(wo)
Oslo
(wann)
2008

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Aastveit, Knut Are
  • Trovik, Tørres G.
  • Norges Bank

Entstanden

  • 2008

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