English, Article, Journal or magazine article edition: Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth Philippe Moës

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/18049
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth
Author
  • Philippe Moës
Physical Description
  • preprint
Notes
  • Structural time series models applied to the factor inputs of a production function often lead to small output gaps and consequently to erratic measures of potential growth. We introduce a dual cycle model which is an extension to the multivariate trend plus cycle model with phase shifts à la Rünstler. The dual cycle model is a combination of two types of models: the trend plus cycle model and the cyclical trend model, where the cycle appears in the growth rate of a variable. This property enables hysteresis to be taken into account. Hysteresis is likely to show up in unemployment but it can also affect the capital stock due to the existence of long investment cycles. In the proposed model, hysteresis may affect all the factor inputs of the production function and phase shifts are extended to the dual cycles. Genuine measures of potential growth can be computed that are hysteresis-free and less prone to volatility. A complementary measure of the output gap that takes hysteresis into account can be derived
  • Output gap, potential growth, hysteresis, structural time series models
  • RePEc:nbb:reswpp:200808-20
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment