scholarly journals The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time

2004 ◽  
Author(s):  
Simon van Norden ◽  
Athanasios Orphanides
Keyword(s):  
Real Time ◽  
Output Gap ◽  
Inflation Forecasts

scholarly journals The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time

2005 ◽  
Vol 37 (3) ◽  
pp. 583-601 ◽  
Author(s):  
Athanasios Orphanides ◽  
Simon Van Norden
Keyword(s):  
Real Time ◽  
Output Gap ◽  
Inflation Forecasts

scholarly journals How to Improve Inflation Forecasting in Canada

2019 ◽  
Vol 2019 (190) ◽  
Author(s):  
Troy Matheson
Keyword(s):  
Real Time ◽  
Inflation Targeting ◽  
Commodity Prices ◽  
Output Gap ◽  
Forecast Errors ◽  
Bank Of Canada ◽  
Core Inflation ◽  
Inflation Forecasts ◽  
Inflation Forecasting ◽  
Gradual Approach

Against the backdrop of an ongoing review of the inflation-targeting framework, this paper examines the real-time inflation forecasts of the Bank of Canada with the aim of identifying potential areas for improvement. Not surprisingly, the results show that errors in forecasting non-core inflation (commodity prices etc.) are found to be the largest contributors to overall inflation forecast errors. Perhaps more importantly, relatively small core inflation forecast errors appear to mask large and offsetting errors related to the output gap and the policy interest rate, partly reflecting a tendency to overestimate the neutral nominal policy rate in real time. Faced with these uncertainties, the Governing Council’s gradual approach to changing its policy settings appears to have served it well.

scholarly journals TREND-CYCLE DECOMPOSITION OF OUTPUT AND EURO AREA INFLATION FORECASTS: A REAL-TIME APPROACH BASED ON MODEL COMBINATION

2013 ◽  
Vol 19 (2) ◽  
pp. 363-393 ◽  
Author(s):  
Pierre Guérin ◽  
Laurent Maurin ◽  
Matthias Mohr
Keyword(s):  
Real Time ◽  
Euro Area ◽  
Output Gap ◽  
Model Combination ◽  
Cycle Decomposition ◽  
Potential Output ◽  
Inflation Forecasts ◽  
Data Revisions ◽  
Ex Post ◽  
Decomposition Models

This paper estimates univariate and multivariate trend-cycle decomposition models of GDP and considers the novel possibility of regime switches in the growth of potential output. We compute both ex post and real-time estimates of the output gap to check the stability of our estimates to GDP data revisions. We find some evidence of regime changes in the growth of potential output during the recessions experienced by the euro area. We also run a forecasting experiment to evaluate the predictive power of the output gap for inflation. The benchmark autoregressive model tends to obtain the best forecasts for one-quarter-ahead forecasts, but the output gap measures help to forecast inflation for longer horizons.

scholarly journals The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time

2004 ◽  
Vol 2004 (68) ◽  
pp. 1-28
Author(s):  
Athanasios Orphanides ◽  
◽  
Simon Van Norden
Keyword(s):  
Real Time ◽  
Output Gap ◽  
Inflation Forecasts

scholarly journals What Has Publishing Inflation Forecasts Accomplished? Central Banks and Their Competitors

2019 ◽  
pp. 736-778 ◽  
Author(s):  
Pierre L. Siklos
Keyword(s):  
Global Financial Crisis ◽  
Central Banks ◽  
Output Gap ◽  
Great Moderation ◽  
Confidence Set ◽  
Short Term ◽  
Inflation Forecasts ◽  
Advanced Economies ◽  
The Global Financial Crisis ◽  
Model Confidence Set

This chapter explores short-term sources of inflation forecast disagreement in nine advanced economies. Domestic versus global factors among other determinants are considered. The chapter also adapts an idea from the model confidence set approach to obtain a quasi-confidence interval for inflation forecast disagreement. Some forecasters may change their outlook, especially when data are frequently revised (e.g., the output gap). This extension is also considered. Estimates of disagreement are found to be sensitive to the chosen benchmark, and central banks need not always be the benchmark of choice. The range of forecast disagreement can be high even when levels of disagreement are low. There is little evidence that forecasts are strongly coordinated with those of the central bank. Finally, at least over the period considered, which covers the end of the Great Moderation and the global financial crisis, there is consistent evidence that global factors impact forecast disagreement.

Real time representation of the UK output gap in the presence of model uncertainty

2009 ◽  
Vol 25 (1) ◽  
pp. 81-102 ◽  
Author(s):  
Anthony Garratt ◽  
Kevin Lee ◽  
Emi Mise ◽  
Kalvinder Shields
Keyword(s):  
Real Time ◽  
Model Uncertainty ◽  
Output Gap ◽  
Time Representation ◽  
The Uk

scholarly journals Industrial Electricity Usage and Stock Returns

2017 ◽  
Vol 52 (1) ◽  
pp. 37-69 ◽  
Author(s):  
Zhi Da ◽  
Dayong Huang ◽  
Hayong Yun
Keyword(s):  
Growth Rate ◽  
Asset Pricing ◽  
Business Cycle ◽  
Stock Returns ◽  
Real Time ◽  
Risk Premium ◽  
Output Gap ◽  
Financial Variables ◽  
The Future ◽  
The Business Cycle

The growth rate of industrial electricity usage predicts future stock returns up to 1 year with an R2 of 9%. High industrial electricity usage today predicts low stock returns in the future, consistent with a countercyclical risk premium. Industrial electricity usage tracks the output of the most cyclical sectors. Our findings bridge a gap between the asset pricing literature and the business cycle literature, which uses industrial electricity usage to gauge production and output in real time. Industrial electricity growth compares favorably with traditional financial variables, and it outperforms Cooper and Priestley’s output gap measure in real time.

scholarly journals The Unreliability of Output-Gap Estimates in Real Time

2017 ◽  
Vol 56 (3) ◽  
pp. 193-219 ◽  
Author(s):  
Ahsan Ul Haq Satti ◽  
Wasim Shahid Malik
Keyword(s):  
Real Time ◽  
Linear Trend ◽  
The State ◽  
Output Gap ◽  
Policy Decisions ◽  
Time Data ◽  
Uncertainty Measurement ◽  
Real Time Data ◽  
Final Data ◽  
The Difference

Most research on monetary policy assumes availability of information regarding the current state of economy, at the time of the policy decision. A key challenge for policy-makers is to find indicators that give a clear and precise signal of the state of the economy in real time—that is, when policy decisions are actually taken. One of the indicators used to asses the economic condition is the output gap; and the estimates of output gap from real time data misrepresents the true state of economy. So the policy decisions taken on the basis of real time noisy data are proved wrong when true data become available. Within this context we find evidence of wrong estimates of output gap in real time data. This is done by comparing estimates of output gap based on real time data with that in the revised data. The quasi real time data are also constructed such that the difference between estimates of output gap from real time data and that from quasi real time data reflects data revision and the difference between estimates of output gap from final data and that from quasi real time data portray other revisions including end sample bias. Moreover, output gap is estimated with the help of five methods namely the linear trend method, quadratic trend method, Hordrick-Prescott (HP) filter, production function method, and structural vector autoregressive method. Results indicate that the estimates of output gap in real time data are different from what have been found in final data but other revisions, compared to data revisions, are found more significant. Moreover, the output gap measured using all the methods, except the linear trend method, appropriately portray the state of economy in the historical context. It is also found that recessions can be better predicted by real time data instead of revised data, and final data show more intensity of recession compared with what has been shown in real time data. JEL Classification: E320 Keywords: Data Uncertainty, Measurement Uncertainty, Output Gap, Business Cycle, Economic Activity

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