The information content of real-time output gap estimates, an application to the euro area

Arbeitspapier

The paper investigates real-time output gap estimates for the euro artea obtained from various unobserved components (UOC) models. Based on a state space modelling framework, three criteria are used to evaluate real-time estimates, I.e. standard errors, unbiasedness and conditional inflation forecasts. Real time estimates from univariate moving average filters and from bivariate UOC models based on output and inflation are found to be rather uninformative. Extended models, which employ the information from cyclical indicators and factor inputs, however, improve substantially upon the former models in all criteria. The pessimism on the reliability of real-time output gap estimates expressed in earlier literature may therefore be overstated.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: ECB Working Paper ; No. 182

Classification and Topics

• Classification: Wirtschaft ; Model Evaluation, Validation, and Selection ; Price Level; Inflation; Deflation ; Business Fluctuations; Cycles

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Rünstler, Gerhard
• Event: Veröffentlichung
• (who): European Central Bank (ECB)
• (where): Frankfurt a. M.
• (when): 2002

Further information

• Handle: http://hdl.handle.net/10419/152616
• Last update: 10.03.2025, 11:44 AM CET