CHALMOVIANSKÝ, Jakub and Daniel NĚMEC. Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. ECONOMIC MODELLING. AMSTERDAM (NETHERLANDS): ELSEVIER, 2022, vol. 116, November, p. 1-25. ISSN 0264-9993. doi:10.1016/j.econmod.2022.105994.
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Basic information
Original name Assessing uncertainty of output gap estimates: Evidence from Visegrad countries
Authors CHALMOVIANSKÝ, Jakub (703 Slovakia, guarantor, belonging to the institution) and Daniel NĚMEC (203 Czech Republic, belonging to the institution).
Edition ECONOMIC MODELLING, AMSTERDAM (NETHERLANDS), ELSEVIER, 2022, 0264-9993.
Other information
Original language English
Type of outcome Article in a journal
Field of Study 50202 Applied Economics, Econometrics
Country of publisher Netherlands
Confidentiality degree is not subject to a state or trade secret
WWW URL
Impact factor Impact factor: 3.875 in 2021
Organization unit Faculty of Economics and Administration
Doi http://dx.doi.org/10.1016/j.econmod.2022.105994
UT WoS 000859457400009
Keywords in English Output gap estimation; Visegrad countries; Output gap uncertainty; Bayesian estimation
Tags International impact, Reviewed
Changed by Changed by: Mgr. Pavlína Kurková, učo 368752. Changed: 19/1/2023 11:33.
Abstract
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.
Links
MUNI/A/1099/2020, interní kód MUName: Dopady zmien na trhu práce a v daňovom systéme na dynamiku českej ekonomiky
Investor: Masaryk University
MUNI/A/1437/2021, interní kód MUName: Aktuální otázky a výzvy ekonomického modelování (Acronym: Ekonomické modelování)
Investor: Masaryk University
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