Reliable Real-time Output Gap Estimates Based on a Modified Hamilton Filter
Forschungsbereich: | Macroeconomics |
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Forscher: |
Josefine Quast, Maik Wolters |
Datum: |
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Zusammenfassung: |
The authors contribute to the debate regarding the reliability of output gap estimates. As an alternative to the Hodrick-Prescott (HP) filter, they propose a simple modification of the filter proposed by Hamilton in 2018 that shares its favorable real-time properties, but leads to a more even coverage of typical business cycle frequencies. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy institutions, they find that real-time output gaps based on the modified Hamilton filter are economically much more meaningful measures of the business cycle than those based on other simple statistical trend-cycle decomposition techniques such as the HP or the Bandpass filter. |
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