What Is in Your Output Gap? Unified Framework & Decomposition into Observables

Michal Andrle

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Monetary Policy and Economic Impact Economic Theory and Policy Unemployment and Economic Growth

Abstract

This paper discusses several popular methods to estimate the ‘output gap’. It provides a unified, natural concept for the analysis, and demonstrates how to decompose the output gap into contributions of observed data on output, inflation, unemployment, and other variables. A simple bar-chart of contributing factors, in the case of multi-variable methods, sharpens the intuition behind the estimates and ultimately shows ‘what is in your output gap.’ The paper demonstrates how to interpret effects of data revisions and new data releases for output gap estimates (news effects) and how to obtain more insight into real-time properties of estimators.

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References

1997Postwar U.S. Business Cycles: An Empirical Investigation 2007Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach 1999The Band Pass Filter 2003Measuring the Natural Rate of Interest 2002The Unreliability of Output-Gap Estimates in Real Time 1993Low frequency filtering and real business cycles 1994Estimating Potential Output as a Latent Variable 2001The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series

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