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Can I read Global and Local Components of Output Gaps on EtoBox?
Global and Local Components of Output Gaps by Florian Eckert; Nina Mühlebach is a Economics, Econometrics and Finance article available to read on EtoBox.
What is Global and Local Components of Output Gaps about?
This paper proposes a multi-level dynamic factor model to identify common components in output gap estimates. We pool multiple estimates for 157 countries and decompose them into one global, eight regional, and 157 country-specific cycles. Our approach easily deals with mixed frequencies, ragged edges, and discontinuities in the underlying output gap estimates. To restrict the parameter space in the Bayesian state space model, we apply a stochastic search variable selection approach and base the prior inclusion probabilities on spatial information. Our results suggest that the global and the regional cycles explain a substantial proportion of the output gaps. On average, 18% of a country’s output gap is attributable to the global cycle, 24% to the regional cycle, and 58% to the local cycle.
Who reads Global and Local Components of Output Gaps?
It is typically read by researchers, students, and practitioners in Economics, Econometrics and Finance.
- Author
- Florian Eckert; Nina Mühlebach
- Publisher
- Springer Science and Business Media LLC
- Published
- 2023
- Language
- EN
- Field
- Economics, Econometrics and Finance (Social Sciences)