Arbeitspapier
Unobserved components model(s): Output gaps and financial cycles
The Global Financial Crisis established that policymakers should consider the stage of the financial cycle to better evaluate the cyclical position of the economy when designing monetary policy decisions. If financial variables are omitted from the estimations of the output gap, a common and unobserved indicator of the business cycle, important financial or external imbalances that may lead to future recessions may not be captured. This paper presents a suite of estimates of output gaps incorporating financial variables. The estimates are based both on small unobserved components models and a large unobserved components model that follows a production function approach. The results show that exploiting the information content of financial variables, which co-move strongly with the output cycle, can sometimes improve output gap estimates. However, these improvements are of a limited magnitude and very sensitive to the choice of the chosen financial variables.
- ISBN
-
978-92-899-6117-2
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 2832
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Money and Interest Rates: Forecasting and Simulation: Models and Applications
Monetary Policy
- Thema
-
Output gap
potential output
financial cycle
monetary policy
unobserved components model
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Guillochon, Justine
Le Roux, Julien
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- DOI
-
doi:10.2866/862332
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Guillochon, Justine
- Le Roux, Julien
- European Central Bank (ECB)
Entstanden
- 2023
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