G2TT
来源类型Discussion paper
规范类型论文
来源IDDP7716
DP7716 The Reliability of Real Time Estimates of the Euro Area Output Gap
Massimiliano Marcellino; Alberto Musso
发表日期2010-02-28
出版年2010
语种英语
摘要This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the output gap are characterised by a high degree of uncertainty, much higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the magnitude and the sign of the real-time estimates of the euro area output gap are very uncertain. The uncertainty is mostly due to parameter instability, while data revisions seem to play a minor role. To benchmark our results, we repeat the analysis for the US over the same sample. It turns out that US real time estimates are much more correlated with final estimates than for the euro area, data revisions play a larger role, but overall the unreliability in real time of the US output gap measures detected in earlier studies is confirmed in the more recent period.
主题International Macroeconomics
关键词Data revisions Euro area Output gap Real-time data
URLhttps://cepr.org/publications/dp7716
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/536553
推荐引用方式
GB/T 7714
Massimiliano Marcellino,Alberto Musso. DP7716 The Reliability of Real Time Estimates of the Euro Area Output Gap. 2010.
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