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基于改进 Hamilton 滤波器的可靠实时产出缺口估计AI 解读

We propose a simple modification of Hamilton’s time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical component that is hardly revised with new incoming data due to the one-sided filtering approach, it does not cover typical business cycle frequencies evenly, but mutes short and amplifies…

婴儿潮一代的退休浪潮如何扭曲基于模型的产出缺口估计AI 解读

Summary This paper illustrates, based on an example, the importance of consistency between empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, I propose adjusting hours worked per capita used to estimate such models accordingly to enhance the consistency between the data and the model. Without this adjustment, low‐frequency shifts in hours lead to…

评估DSGE模型的点预测与密度预测AI 解读

This paper investigates the accuracy of forecasts from four dynamic stochastic general equilibrium (DSGE) models for inflation, output growth and the federal funds rate using a real-time dataset synchronized with the Fed's Greenbook projections. Conditioning the model forecasts on the Greenbook nowcasts leads to forecasts that are as accurate as the Greenbook projections for output growth and the federal funds rate. Only for inflation are the model forecasts dominated by the…