Output Gap Uncertainty and Real-Time Monetary Policy

F. Grigoli, Alexander Herman, Andrew J. Swiston, C. Di Bella
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引用次数: 33

Abstract

Output gap estimates are subject to a wide range of uncertainty owing to data revisions and the difficulty in distinguishing between cycle and trend in real time. This is important given the central role in monetary policy of assessments of economic activity relative to capacity. We show that country desks tend to overestimate economic slack, especially during recessions, and that uncertainty in initial output gap estimates persists several years. Only a small share of output gap revisions is predictable ex ante based on characteristics like output dynamics, data quality, and policy frameworks. We also show that for a group of Latin American inflation targeters the prescriptions from typical monetary policy rules are subject to large changes due to output gap revisions. These revisions explain a sizable proportion of the deviation of inflation from target, suggesting this information is not accounted for in real-time policy decisions.
产出缺口不确定性与实时货币政策
由于数据订正和难以实时区分周期和趋势,产出缺口估计存在很大的不确定性。鉴于相对于产能的经济活动评估在货币政策中的核心作用,这一点很重要。我们发现,国家统计局往往会高估经济疲软,尤其是在经济衰退期间,而且初始产出缺口估计的不确定性会持续数年。根据产出动态、数据质量和政策框架等特征,只有一小部分产出缺口修正是可以预先预测的。我们还表明,对于一组拉丁美洲通胀目标,典型货币政策规则的处方由于产出缺口修正而发生了巨大变化。这些修正在很大程度上解释了通胀偏离目标的原因,表明这一信息并未在实时政策决策中得到考虑。
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