Measuring the Output Gap using Large Datasets

• 成果类型: Article
• 署名作者: Barigozzi, Matteo; Luciani, Matteo
• 署名单位: University of Bologna; 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_01119
• 发表日期: 2023-11
• 页码: 1500-1514
• 关键词: common stochastic trends; dynamic factor; number; components; time; DECOMPOSITION; MODEL

摘要

We propose a new measure of the output gap based on a dynamic factor model that is estimated on a large number of U.S. macroeconomic indicators and which incorporates relevant stylized facts about macroeconomic data (comovements, nonstationarity, and the slow drift in long-run output growth over time). We find that (1) from the mid-1990s to 2008, the U.S. economy operated above its potential and (2) in 2018:Q4, the labor market was tighter than the market for goods and services. Because it is mainly data-driven, our measure is a natural complementary tool to the theoretical models used at policy institutions.