A State-Space Model to Estimate Potential Growth in the Industrialized Countries

Book section: This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.

Author(s)

Thomas Brand, Gilles Dufrénot, Antoine Mayerowitz

Publisher(s)
  • Springer
Scientific editor(s)
  • Dufrénot Gilles
  • Takashi Matsuki
Collection
  • Dynamic Modeling and Econometrics in Economics and Finance
Title of the work
  • Recent Econometric Techniques for Macroeconomic and Financial Data
Date of publication
  • 2021
Keywords
  • Potential growth
  • State-space models
  • Long-memory
  • Industrialized countries
Pages
  • 61-77
Version
  • 1
Volume
  • 27