An Inflation‐Predicting Measure of the Output Gap in the Euro Area
利用小型贝叶斯动态因子模型估计欧元区与通胀行为一致的产出缺口，发现2011年主权债务危机后产出缺口远大于官方估计，而趋势增长放缓的版本无法充分解释通胀变化。
Abstract Using a small Bayesian dynamic factor model of the euro area, we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin down the features of the model, we evaluate the accuracy of real‐time inflation forecasts from different model specifications. The version that forecasts inflation best implies that after the 2011 sovereign debt crisis, the output gap in the euro area has been much larger than the official estimates. Versions featuring a secular stagnation‐like slowdown in trend growth, and hence a small output gap after 2011, do not adequately capture the inflation developments.