Arbeitspapier
Improving output gap estimation: A bottom-up approach
We propose a multivariate Bayesian state space model to identify potential growth and the output gap consistent with the dynamics of the underlying production sectors of the economy and those of inflation and the labor market. Our approach allows us to decompose economic fluctuations and long-term trend growth of output and employment into its driving factors. Applying our model to the Swiss economy reveals substantial divergence among the considered production sectors- their contributions to gap and potential vary both in size and direction. Potential growth has been declining over the past two decades and the data points to labor market frictions and a well-identified Phillips curve. In a comprehensive real-time study, we review revision and forecasting properties of our estimate and compare it to established methods. Overall, we document several advantages of our sector gap model: a) It facilitates the interpretability of economic trends and cycles, allowing for more efficient policy actions, b) it has favorable revision properties compared to standard univariate filtering techniques and a baseline model without sectors, c) it is useful in forecasting output growth and inflation, and d) it produces economically meaningful potential growth rates.
- Sprache
-
Englisch
- Erschienen in
-
Series: KOF Working Papers ; No. 513
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Macroeconomics: Production
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Business Fluctuations; Cycles
Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
- Thema
-
Bayesian state space model
business cycle measurement
Gibbs sampling
output gap
potential output
production sectors
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Rathke, Alexander
Streicher, Sina
- Ereignis
-
Veröffentlichung
- (wer)
-
ETH Zurich, KOF Swiss Economic Institute
- (wo)
-
Zurich
- (wann)
-
2023
- DOI
-
doi:10.3929/ethz-b-000642427
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Rathke, Alexander
- Streicher, Sina
- ETH Zurich, KOF Swiss Economic Institute
Entstanden
- 2023
Ähnliche Objekte (12)
Bottom-Up Semantics
Bottom-up operations strategy formation
Top-down versus bottom-up macroeconomics
Top-down, bottom-up : socializing architecture
Adding bottom-up evaluation to prolog
Bottom–Up Metasurfaces for Biotechnological Applications
Bottom-up holographic models for cosmology
Practicing Interdisciplinarity : A Bottom-Up Approach
Top-Down vs. Bottom-Up? Reconciling the Effects of Tax and Transfer Shocks on Output
Top-down vs. bottom-up? Reconciling the effects of tax and transfer shocks on output
Top-Down vs. Bottom-Up? Reconcilling the Effects of Tax and Transfer Shocks on Output
Structured output methods and environmental issues: perspectives on co-created bottom-up and ‘sideways’ science
Bottom-Up Semantics
Bottom-up operations strategy formation
Top-down versus bottom-up macroeconomics
Top-down, bottom-up : socializing architecture
Adding bottom-up evaluation to prolog
Bottom–Up Metasurfaces for Biotechnological Applications
Bottom-up holographic models for cosmology
Practicing Interdisciplinarity : A Bottom-Up Approach
Top-Down vs. Bottom-Up? Reconciling the Effects of Tax and Transfer Shocks on Output
Top-down vs. bottom-up? Reconciling the effects of tax and transfer shocks on output
Top-Down vs. Bottom-Up? Reconcilling the Effects of Tax and Transfer Shocks on Output
Structured output methods and environmental issues: perspectives on co-created bottom-up and ‘sideways’ science
Bottom-Up Semantics
Bottom-up operations strategy formation
Top-down versus bottom-up macroeconomics
Top-down, bottom-up : socializing architecture
Adding bottom-up evaluation to prolog
Bottom–Up Metasurfaces for Biotechnological Applications
Bottom-up holographic models for cosmology
Practicing Interdisciplinarity : A Bottom-Up Approach
Top-Down vs. Bottom-Up? Reconciling the Effects of Tax and Transfer Shocks on Output
Top-down vs. bottom-up? Reconciling the effects of tax and transfer shocks on output
Top-Down vs. Bottom-Up? Reconcilling the Effects of Tax and Transfer Shocks on Output