Projects per year
We propose a way to directly nowcast the output gap using the Beveridge–Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. output gap compared to those based on a quarterly model, the CBO measure of potential, or the HP filter. We find that within-quarter nowcasts for the output gap are more reliable than for output growth, with monthly indicators for a credit risk spread, consumer sentiment, and the unemployment rate providing particularly useful new information about the final estimate of the output gap. An out-of-sample analysis of the COVID-19 crisis anticipates the exceptionally large negative output gap of −8.3% in 2020Q2 before the release of real GDP data for the quarter, with both conditional and scenario nowcasts tracking a dramatic decline in the output gap given the April data.
|Number of pages||17|
|Journal||Journal of Econometrics|
|Publication status||Published - Jan 2023|
- Output gap
Financial Cycles and the Macroeconomy
Australian Research Council (ARC)
21/02/20 → 20/02/24
Understanding the Sources of Secular Stagnation
Morley, J., Wong, B. & Eo, Y.
5/03/19 → 4/03/22
New Methods for Incorporating Financial Factors in Estimating Potential Output
Wong, B., Berger, T. & Richter, J.
1/01/19 → 31/12/22