Structural estimation of the output gap

A bayesian dsge approach

Yasuo Hirose, Saori Naganuma

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

We estimate the output gap that is consistent with a standard New Keynesian dynamic stochastic general equilibrium (DSGE) model, where the output gap is defined as a deviation of output from its flexible-price equilibrium, using Bayesian methods. Our output gap illustrates the U.S. business cycles well, compared with other estimates. We find that the main source of the output gap movements is the demand shocks, but that the productivity shocks contributed to the stable output gap in the late 1990s. The robustness analysis shows that the estimated output gap is sensitive to the specification for monetary policy rules. (JEL E30, E32, C11).

Original languageEnglish
Pages (from-to)864-879
Number of pages16
JournalEconomic Inquiry
Volume48
Issue number4
DOIs
Publication statusPublished - 2010 Oct
Externally publishedYes

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Structural estimation
Output gap
Productivity shocks
Demand shocks
Dynamic stochastic general equilibrium model
Bayesian methods
New Keynesian
Robustness analysis
Equilibrium price
Business cycles
Monetary policy rules
Deviation

ASJC Scopus subject areas

  • Economics and Econometrics
  • Business, Management and Accounting(all)

Cite this

Structural estimation of the output gap : A bayesian dsge approach. / Hirose, Yasuo; Naganuma, Saori.

In: Economic Inquiry, Vol. 48, No. 4, 10.2010, p. 864-879.

Research output: Contribution to journalArticle

Hirose, Yasuo ; Naganuma, Saori. / Structural estimation of the output gap : A bayesian dsge approach. In: Economic Inquiry. 2010 ; Vol. 48, No. 4. pp. 864-879.
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