Norges Bank Output Gap Estimates: Forecasting Properties, Reliability, Cyclical Sensitivity and Hysteresis
评估挪威央行用于估计产出缺口的模型组合，发现简单等权平均的预测效果优于单个模型，且能辅助实时通胀预测，同时产出缺口对永久性冲击和技术冲击反应迅速，部分捕捉了滞后效应。
Abstract This paper documents the suite of models (SoMs) used by Norges Bank to estimate the output gap. The models are estimated using data on GDP, unemployment, inflation, wages, investment, house prices and credit. We evaluate the estimated output gap series in terms of its forecasting properties, its reliability and its cyclical sensitivity to various measures of demand and supply shocks. A simple equally weighted average of estimates from different models features a better forecasting performance than each individual model. In addition, it helps predicting inflation in pseudo real time and exhibits limited variations when new data become available. The summary measure of potential output responds strongly and rapidly to permanent shocks and to narrative measures of technology shocks but, although to a more limited extent, also to demand shocks, thus partly capturing hysteresis effects.