Show simple item record

dc.contributor.author
Sarferaz, Samad
dc.contributor.author
Eckert, Florian
dc.date.accessioned
2020-02-07T12:18:40Z
dc.date.available
2019-12-13T12:50:23Z
dc.date.available
2019-12-13T13:56:17Z
dc.date.available
2019-12-18T13:41:24Z
dc.date.available
2020-02-07T12:18:40Z
dc.date.issued
2019-12-12
dc.identifier.uri
http://hdl.handle.net/20.500.11850/385527
dc.identifier.doi
10.3929/ethz-b-000385527
dc.description.abstract
This paper uses a Bayesian dynamic index model to extract common trends and cycles from large datasets in a novel agnostic way. We show how to derive an agnostic output gap measure from these estimates, applying the procedure to a data set of quarterly time series compiled for the U.S. and Switzerland. We show that our derived output gap measure is a good reflection of the U.S. and Swiss business cycle and has a high correlation with alternative estimates of the output gap. We also show that two common cycles estimated for U.S. – one on the frequency of business cycles and the other at a lower frequency – dominate in explaining fluctuations in the output gap. Both cycles are strongly related to production, investment, labour market and money market variables, with the former being dominated by production and investment variables and the latter by labour market variables.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
KOF Swiss Economic Institute, ETH Zurich
en_US
dc.rights.uri
http://rightsstatements.org/page/InC-NC/1.0/
dc.subject
Dynamic Index Model
en_US
dc.subject
Nonstationary Factors
en_US
dc.subject
Potential Output Estimation
en_US
dc.subject
Output Gap Decomposition
en_US
dc.title
Agnostische Schätzung und Zerlegung von Produktionslücken
en_US
dc.type
Journal Article
dc.rights.license
In Copyright - Non-Commercial Use Permitted
ethz.journal.title
KOF Analysen
ethz.journal.volume
2019
en_US
ethz.journal.issue
4
en_US
ethz.pages.start
29
en_US
ethz.pages.end
36
en_US
ethz.size
10 p.
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C1 - Econometric and Statistical Methods and Methodology: General::C11 - Bayesian Analysis: General
en_US
ethz.code.jel
JEL - JEL::C - Mathematical and Quantitative Methods::C3 - Multiple or Simultaneous Equation Models; Multiple Variables::C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E1 - General Aggregative Models::E12 - Keynes; Keynesian; Post-Keynesian
en_US
ethz.code.jel
JEL - JEL::E - Macroeconomics and Monetary Economics::E3 - Prices, Business Fluctuations, and Cycles::E32 - Business Fluctuations; Cycles
en_US
ethz.publication.place
Zurich
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06336 - KOF FB Data Science und Makroökon. Meth. / KOF FB Data Science and Macroec. Methods
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute::06336 - KOF FB Data Science und Makroökon. Meth. / KOF FB Data Science and Macroec. Methods
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02120 - Dep. Management, Technologie und Ökon. / Dep. of Management, Technology, and Ec.::02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
en_US
ethz.tag
KOF-Key-Spezialanalyse
en_US
ethz.relation.isPartOf
10.3929/ethz-b-000385091
ethz.date.deposited
2019-12-13T12:50:33Z
ethz.source
FORM
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2019-12-13T13:56:41Z
ethz.rosetta.lastUpdated
2020-02-07T12:18:53Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Agnostische%20Sch%C3%A4tzung%20und%20Zerlegung%20von%20Produktionsl%C3%BCcken&rft.jtitle=KOF%20Analysen&rft.date=2019-12-12&rft.volume=2019&rft.issue=4&rft.spage=29&rft.epage=36&rft.au=Sarferaz,%20Samad&Eckert,%20Florian&rft.genre=article&
 Search print copy at ETH Library

Files in this item

Thumbnail

Publication type

Show simple item record