| Description |
1 online resource (35 pages) : illustrations |
| Series |
IMF working paper ; WP/15/14 |
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IMF working paper ; WP/15/14.
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| Contents |
Cover; Abstract; Contents; I. Introduction; II. Output Gap Revisions; A. Output Gap Definition and Data; Tables; 1. Sources of Revisions to Output Gap Estimates; 2. HP Filter Smoothing Parameter; B. Initial Estimates and Revisions; 3. Output Gap: Initial Estimates and Revisions; Figures; 1. Output Gap Revisions by Vintage; 2. Initial and Final Output Gap Estimates; C. Robustness Checks; 3. Revision Properties; 4. Comparison Across Sources; 5. Comparison Across US Output Gap Estimates; III. Determinants of Output Gap Revisions; A. Empirical Strategy; B. Results |
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4. Determinants of the Absolute Revisions of the Output Gap, Baseline5. Determinants of the Absolute Revisions of the Output Gap, Extensions; 6. Determinants of the Probability of the Output Gap Changing Sign; IV. Policy Implications; A. To Ease, or to Tighten?; B. Setting Monetary Policy in Real Time; 6. Real-Time Output Gap Estimates and Confidence Intervals; 7. Quarterly Output Gap estimates for LA-5 Economies; C. Monetary Reaction Functions; 7. Output Gaps and Revisions; D. Output Gap Revisions and Policy Revisions; E. Output Gap Revisions and Inflation |
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8. Policy Deviations Owing to Output Gap Revisions8. Output Gap as a Predictor of Inflation; V. Summary and Conclusions; Appendix I. Data; References |
| Summary |
Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetary policy of assessments of economic activity relative to capacity. We show that country desks tend to overestimate economic slack, especially during recessions, and that uncertainty in initial output gap estimates persists several years. Only a small share of output gap revisions is predictable ex ante based on characteristics like output dynamics, data quality, and policy frameworks. We also show that for a group of Latin American inflation targeters the prescriptions from typical monetary policy rules are subject to large changes due to output gap revisions. These revisions explain a sizable proportion of the deviation of inflation from target, suggesting this information is not accounted for in real-time policy decisions.--Abstract |
| Notes |
Authors: Francesco Grigoli, Alexander Herman, Andrew Swiston, and Gabriel Di Bella |
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"January 2015." |
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"Western Hemisphere Department." |
| Bibliography |
Includes bibliographical references (page 33) |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed January 30, 2015) |
| Subject |
Economic development -- Latin America
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Monetary policy -- Latin America
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Inflation targeting -- Latin America
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Business cycles -- Latin America
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Time-series analysis.
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Business cycles
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Economic development
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Inflation targeting
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Monetary policy
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Time-series analysis
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Latin America
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| Form |
Electronic book
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| Author |
Grigoli, Francesco.
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International Monetary Fund. Western Hemisphere Department.
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