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
URL of the HAL notice
Version
- 1
Volume
- 27