期刊名称：Departmental Discussion Papers / University of Glasgow, Department of Economics
出版年度：2009
卷号：1
出版社：University of Glasgow, Department of Economics
摘要：This paper analyses the impact of using different macroeconomic variables and output
decompositions to estimate the euro area output gap. We estimate twelve multivariate
unobserved components models with phase shifts being allowed between individual
cyclical components. As output decomposition plays a central role in all multivariate
models, three different output decompositions are utilised; these are a first-order
stochastic cycle combined with either a local linear trend or a damped slope trend, and
a second-order cycle plus an appropriate trend specification (a trend following a
random walk with a constant drift is generally preferred). We also extend the
commonly used trivariate models of output, inflation and unemployment to
incorporate a fourth variable, either investment or industrial production. We find that
the four-variate model incorporating industrial production produces the most
satisfactory output gap estimates, especially when the output gap is modelled as a
first-order cycle. In addition, measuring phase shifts and calculating
contemporaneous correlations between individual cyclical components provides a
better understanding of the different gap estimates. We conclude that the output gap
estimate in all models leads the cyclical components of inflation and unemployment,
but lags those of industrial production and investment. Furthermore, the output gap
estimates obtained from the four-variate model including investment present the
longest leads-and-lags with respect to other cyclical components, implying that
investment appears to be more of a leading indicator than a coincident variable for the
euro area.
