New measures of the output gap based on the forward-looking new Keynesian Phillips curve

• 成果类型: Article
• 署名作者: Basistha, Arabinda; Nelson, Charles R.
• 署名单位: University of Washington; University of Washington Seattle; West Virginia University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2005.07.021
• 发表日期: 2007
• 页码: 498-511
• 关键词: output gap; Phillips curve; inflation; unemployment rate; Unobserved components model

摘要

Forward-looking versions of the New Keynesian Phillips curve imply that the output gap, the deviation of the actual output from its natural level due to nominal rigidities, drives the dynamics of inflation relative to expected inflation. We exploit this to set up a bivariate unobserved component model for extracting new estimates of the output gap in the US. The gap estimates are large and persistent even after allowing for correlated trend and cycle shock. We then augment our model to use the information in the unemployment rate. The estimates confirm the presence of a large and persistent cyclical component. (c) 2006 Elsevier B.V. All rights reserved.