Year: 2002
Type: article
Abstract: This paper is an applied study about forecasting trend output and the output gap in the Euro area. The need for trend output forecasts is justified by an analysis of the monetary strategy of the European Central Bank. Trend output serves as a direct inflation indicator and helps to determine the reference value for money. For both purposes, trend output has to be forecasted. A permanent–transitory decomposition based on cointegration restrictions gives an estimate of trend output in the Euro area. Ex‐ante point forecasts of trend output are computed and bootstrap simulation is employed to construct prediction intervals that take estimation uncertainty into consideration. The uncertainty of trend output and the output gap is quite large and raises questions about their usefulness as indicators for monetary policy. Copyright © 2002 John Wiley & Sons, Ltd.
Source: Journal of Forecasting
DOI: 10.1002/for.845
Author: Christian Schumacher
Institution: Hamburg Institute of International Economics
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2068288192