Thomas Hasenzagl, Filippo Pellegrino, Lucrezia Reichlin, Giovanni Ricco
arXiv 14 Jan 2022 · Econometrics
arXiv:2201.05556 · PDF · DOI · OpenAlex · Extracted main text
We propose two specifications of a real-time mixed-frequency semi-structural time series model for evaluating the output potential, output gap, Phillips curve, and Okun's law for the US. The baseline model uses minimal theory-based multivariate identification restrictions to inform trend-cycle decomposition, while the alternative model adds the CBO's output gap measure as an observed variable. The latter model results in a smoother output potential and lower cyclical correlation between inflation and real variables but performs worse in forecasting beyond the short term. This methodology allows for the assessment and real-time monitoring of official trend and gap estimates.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hasenzagl, Pellegrino, Reichlin and Ricco (2022) A Model of the Fed's View on Inflation | 0.874 | 5 | 2 | 100% |
| 2 | Giannone, Reichlin and Small (2008) Nowcasting: The real-time informational content of macroeconomic data | 0.644 | 2 | 2 | 100% |
| 3 | Aastveit and Trovik (2014) Estimating the output gap in real time: A factor model approach | 0.511 | 2 | 1 | 100% |
| 4 | Müller and Watson (2008) Testing Models of Low-Frequency Variability | 0.405 | 1 | 1 | 100% |
| 5 | Barigozzi and Luciani (2021) Measuring the output gap using large datasets | 0.405 | 1 | 1 | 100% |
| 6 | Coibion and Gorodnichenko (2015) Is the Phillips Curve Alive and Well after All? Inflation Expectations and the Missing Disinflation | 0.405 | 1 | 1 | 100% |
| 7 | Bianchi, Nicolo' and Song (2022) Inflation and Real Activity over the Business Cycle | 0.405 | 1 | 1 | 100% |
| 8 | Giannone, Lenza and Primiceri (2019) Priors for the Long Run | 0.405 | 1 | 1 | 100% |
| 9 | Del Negro, Giannone, Giannoni and Tambalotti (2017) Safety, Liquidity, and the Natural Rate of Interest | 0.405 | 1 | 1 | 100% |
| 10 | Jarociński and Lenza (2018) An Inflation-Predicting Measure of the Output Gap in the Euro Area | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 26 scored citations.