Assessing uncertainty of output gap estimates: Evidence from
Visegrad countries

J 2022

Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

CHALMOVIANSKÝ, Jakub a Daniel NĚMEC

Základní údaje

Originální název

Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

Autoři

CHALMOVIANSKÝ, Jakub a Daniel NĚMEC

Vydání

ECONOMIC MODELLING, AMSTERDAM (NETHERLANDS), ELSEVIER, 2022, 0264-9993

Další údaje

Jazyk

angličtina

Typ výsledku

Článek v odborném periodiku

Obor

50202 Applied Economics, Econometrics

Stát vydavatele

Nizozemské království

Utajení

není předmětem státního či obchodního tajemství

Odkazy

URL

Impakt faktor

Impact factor: 4.700

Označené pro přenos do RIV

Ano

Kód RIV

RIV/00216224:14560/22:00124873

Organizační jednotka

Ekonomicko-správní fakulta

DOI

https://doi.org/10.1016/j.econmod.2022.105994

UT WoS

000859457400009

EID Scopus

2-s2.0-85136630683

Klíčová slova anglicky

Output gap estimation; Visegrad countries; Output gap uncertainty; Bayesian estimation

Příznaky

Mezinárodní význam, Recenzováno

Změněno: 5. 3. 2023 00:24, Mgr. Pavlína Kurková

Anotace

V originále

The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge-Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States.

Návaznosti

MUNI/A/1099/2020, interní kód MU

Název: Dopady zmien na trhu práce a v daňovom systéme na dynamiku českej ekonomiky

Investor: Masarykova univerzita, Dopady zmien na trhu práce a v daňovom systéme na dynamiku českej ekonomiky

MUNI/A/1437/2021, interní kód MU

Název: Aktuální otázky a výzvy ekonomického modelování (Akronym: Ekonomické modelování)

Investor: Masarykova univerzita, Aktuální otázky a výzvy ekonomického modelování

Přiložené soubory

1-s2.0-S026499932200236X-main.pdf

Požádat o autorskou verzi souboru

accepted_version_ECMODE-D-21-01128_R2.pdf

Citovat

CHALMOVIANSKÝ, Jakub a Daniel NĚMEC. Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. ECONOMIC MODELLING. AMSTERDAM (NETHERLANDS): ELSEVIER, 2022, roč. 116, November, s. 1-25. ISSN 0264-9993. Dostupné z: https://doi.org/10.1016/j.econmod.2022.105994.

@article{1702256,
   author = {Chalmovianský, Jakub and Němec, Daniel},
   article_location = {AMSTERDAM (NETHERLANDS)},
   article_number = {November},
   doi = {https://doi.org/10.1016/j.econmod.2022.105994},
   keywords = {Output gap estimation; Visegrad countries; Output gap uncertainty; Bayesian estimation},
   language = {eng},
   issn = {0264-9993},
   journal = {ECONOMIC MODELLING},
   title = {Assessing uncertainty of output gap estimates: Evidence from Visegrad countries},
   url = {https://www.sciencedirect.com/science/article/pii/S026499932200236X},
   volume = {116},
   year = {2022}
}

TY  - JOUR
ID  - 1702256
AU  - Chalmovianský, Jakub - Němec, Daniel
PY  - 2022
TI  - Assessing uncertainty of output gap estimates: Evidence from Visegrad countries
JF  - ECONOMIC MODELLING
VL  - 116
IS  - November
SP  - 1-25
EP  - 1-25
PB  - ELSEVIER
SN  - 02649993
KW  - Output gap estimation
KW  - Visegrad countries
KW  - Output gap uncertainty
KW  - Bayesian estimation
UR  - https://www.sciencedirect.com/science/article/pii/S026499932200236X
N2  - The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge-Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States.
ER  -

CHALMOVIANSKÝ, Jakub a Daniel NĚMEC. Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. \textit{ECONOMIC MODELLING}. AMSTERDAM (NETHERLANDS): ELSEVIER, 2022, roč.~116, November, s.~1-25. ISSN~0264-9993. Dostupné z: https://doi.org/10.1016/j.econmod.2022.105994.

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