Assessing uncertainty of output gap estimates: Evidence from
Visegrad countries

J 2022

Assessing uncertainty of output gap estimates: Evidence from Visegrad countries

CHALMOVIANSKÝ, Jakub and Daniel NĚMEC

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

Language

English

Type of outcome

Článek v odborném periodiku

Field of Study

50202 Applied Economics, Econometrics

Country of publisher

Netherlands

Confidentiality degree

není předmětem státního či obchodního tajemství

References:

URL

Impact factor

Impact factor: 4.700

RIV identification code

RIV/00216224:14560/22:00124873

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

Abstract

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.

Links

MUNI/A/1099/2020, interní kód MU

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

Investor: Masaryk University

MUNI/A/1437/2021, interní kód MU

Name: Aktuální otázky a výzvy ekonomického modelování (Acronym: Ekonomické modelování)

Investor: Masaryk University

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Citovat

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. Available from: https://dx.doi.org/10.1016/j.econmod.2022.105994.

@article{1702256,
   author = {Chalmovianský, Jakub and Němec, Daniel},
   article_location = {AMSTERDAM (NETHERLANDS)},
   article_number = {November},
   doi = {http://dx.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 and Daniel NĚMEC. Assessing uncertainty of output gap estimates: Evidence from Visegrad countries. \textit{ECONOMIC MODELLING}. AMSTERDAM (NETHERLANDS): ELSEVIER, 2022, vol.~116, November, p.~1-25. ISSN~0264-9993. Available from: https://dx.doi.org/10.1016/j.econmod.2022.105994.

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