Multivariate Filter Estimation of Potential Output for the Euro Area and the United States

33 Pages Posted: 3 Feb 2016

See all articles by Ali Alichi

Ali Alichi

International Monetary Fund (IMF)

Olivier Bizimana

International Monetary Fund (IMF)

Silvia Domit

Bank of England - Monetary Analysis

Emilio Fernández Corugedo

Bank of England

Douglas Laxton

International Monetary Fund (IMF) - Research Department

Kadir Tanyeri

International Monetary Fund (IMF)

Hou Wang

International Monetary Fund (IMF)

Fan Zhang

International Monetary Fund (IMF)

Date Written: December 2015

Abstract

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on consensus forecasts, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010) and Blagrave and others (2015). We show that, although still fairly uncertain, the real time estimates from this approach are more accurate relative to those of naïve univariate statistical filters. The paper presents estimates for the euro area and the United States and discusses how the filtered estimates at the end of the sample period can be improved with additional information.

Keywords: Macroeconomic Modeling, inflation, unemployment, gdp, productivity, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),

JEL Classification: E52, C51, E31

Suggested Citation

Alichi, Ali and Bizimana, Olivier and Domit, Silvia and Fernandez-Corugedo, Emilio and Laxton, Douglas and Tanyeri, Kadir and Wang, Hou and Zhang, Fan, Multivariate Filter Estimation of Potential Output for the Euro Area and the United States (December 2015). IMF Working Paper No. 15/253, Available at SSRN: https://ssrn.com/abstract=2727218

Ali Alichi (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Olivier Bizimana

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Silvia Domit

Bank of England - Monetary Analysis ( email )

Threadneedle Street
London EC2R 8AH
United Kingdom

Emilio Fernandez-Corugedo

Bank of England ( email )

Threadneedle Street
London, EC2R 8AH
United Kingdom

Douglas Laxton

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Kadir Tanyeri

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Hou Wang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Fan Zhang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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