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Author
Cesaroni Tatiana (Italian Ministry of Economy and Finance)
Title
Estimating Potential Output Using Business Survey Data in a SVAR Framework
Source
Statistics in Transition, 2010, vol. 11, nr 2, s. 217-230, tab., rys., aneks, bibliogr. s. 229-230
Keyword
Metody ekonometryczne, Estymacja, Teoria estymacji, Produkt globalny
Econometric methodology, Estimation, Estimation theory, Global product
Note
summ.
Abstract
Potential output and the related concept of output gap play a central role in the macroeconomic policy interventions and evaluations. In particular, the output gap, defined as the difference between actual and potential output, conveys useful information on the cyclical position of a given economy. The aim of this paper is to propose estimates of the Italian potential GDP based on structural VAR models. With respect to other techniques, like the univariate filters (i.e. the Hodrick-Prescott filter), the estimates obtained through the SVAR methodology are free from end-of-sample problems, thus resulting particularly useful for short-term analysis. In order to provide information on the economic fluctuations, data coming from business surveys are considered in the SVAR model. This kind of data, given their cyclical profile, are particularly useful for detrending purposes, as they allow including information concerning the business cycle activity. To assess the estimates reliability, an end-of-sample revisions evaluation is performed. The ability of the cyclical GDP component obtained with the SVAR decomposition to detect business cycle turning points, over the expansion and recession phases of the Italian business cycle chronology is then performed. (original abstract)
Accessibility
The Main Library of the Cracow University of Economics
The Library of Warsaw School of Economics
The Library of University of Economics in Katowice
The Main Library of Poznań University of Economics and Business
The Main Library of the Wroclaw University of Economics
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ISSN
1234-7655
Language
eng
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