Time-Varying Uncertainty of the Federal Reserve's Output Gap Estimate
成果类型：
Article
署名作者：
Berge, Travis J.
署名单位：
Federal Reserve System - USA; Federal Reserve System Board of Governors
刊物名称：
REVIEW OF ECONOMICS AND STATISTICS
ISSN/ISSBN：
0034-6535
DOI：
10.1162/rest_a_01102
发表日期：
2023-09
页码：
1191-1206
关键词：
摘要：
A factor stochastic volatility model estimates the common component to output gap estimates produced by the staff of the Federal Reserve, its time-varying volatility, and time-varying, horizon-specific forecast uncertainty. The output gap estimates are uncertain even well after the fact. Nevertheless, the common component is clearly procyclical, and positive innovations to the common component produce movements in macroeconomic variables consistent with an increase in aggregate demand. Heightened macroeconomic uncertainty, as measured by the common component's volatility, leads to persistently negative economic responses.
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