Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter

• 成果类型: Article
• 署名作者: Kamber, Guenes; Morley, James; Wong, Benjamin
• 署名单位: Bank for International Settlements (BIS); Reserve Bank of New Zealand; University of Sydney; Monash University
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00691
• 发表日期: 2018-07
• 页码: 550-566
• 关键词: economic time-series; state-space approach; business-cycle; transitory components; real-time; DECOMPOSITION; TRENDS; permanent; inflation; accuracy

摘要

The Beveridge-Nelson decomposition based on autoregressive models produces estimates of the output gap that are strongly at odds with widely held beliefs about transitory movements in economic activity. This is due to parameter estimates implying a high signal-to-noise ratio in terms of the variance of trend shocks as a fraction of the overall forecast error variance. When we impose a lower signal-to-noise ratio, the resulting Beveridge-Nelson filter produces a more intuitive estimate of the output gap that is large in amplitude and highly persistent, and it typically increases in expansions and decreases in recessions. Notably, our approach is also reliable in the sense of being subject to smaller revisions and predicting future output growth and inflation better than other trend-cycle decompositions that impose a low signal-to-noise ratio.