Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap
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- Gabor Katay & Lisa Kerdelhué & Matthieu Lequien, 2020. "Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap," JRC Working Papers in Economics and Finance 2020-11, Joint Research Centre, European Commission.
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- Guillochon, Justine & Le Roux, Julien, 2023. "Unobserved components model(s): output gaps and financial cycles," Working Paper Series 2832, European Central Bank.
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More about this item
Keywords
Unobserved Components model; semi-structural VAR; output gap; financial cycle; sustainable growth; credit; house prices; advanced economies.;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G01 - Financial Economics - - General - - - Financial Crises
- O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development
- O1 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development
NEP fields
This paper has been announced in the following NEP Reports:- NEP-EEC-2021-01-18 (European Economics)
- NEP-FDG-2021-01-18 (Financial Development and Growth)
- NEP-FOR-2021-01-18 (Forecasting)
- NEP-MAC-2021-01-18 (Macroeconomics)
- NEP-ORE-2021-01-18 (Operations Research)
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