Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter
针对贝弗里奇-尼尔森分解估计产出缺口与直觉不符的问题，通过施加较低信噪比，得到更直观且可靠的产出缺口估计，该估计波动大、持续性强，且修正更小、预测效果更优。
Abstract The Beveridge-Nelson decomposition based on autoregressive models produces estimates of the output gap that are strongly at odds with widely held beliefs about transitory movements in economic activity. This is due to parameter estimates implying a high signal-to-noise ratio in terms of the variance of trend shocks as a fraction of the overall forecast error variance. When we impose a lower signal-to-noise ratio, the resulting Beveridge-Nelson filter produces a more intuitive estimate of the output gap that is large in amplitude and highly persistent, and it typically increases in expansions and decreases in recessions. Notably, our approach is also reliable in the sense of being subject to smaller revisions and predicting future output growth and inflation better than other trend-cycle decompositions that impose a low signal-to-noise ratio.