Measuring Potential Growth with an Estimated DSGE Model of Japan’s Economy
Measuring Potential Growth with an Estimated DSGE Model of Japan’s Economy
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使用日本经济 DSGE 模型估算潜在增长
DOI：
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发表时间：
2010
影响因子：
1.3
通讯作者：
Toyoichiro Shirota
中科院分区：
文献类型：
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作者：
Takuji Fueki;Ichiro Fukunaga;Hibiki Ichiue;Toyoichiro Shirota
在本文中，我们使用日本经济的贝叶斯估计 DSGE 模型计算潜在产出和产出缺口。该模型是一个两个部门的增长模型，考虑了增长率冲击，包括投资品部门特定的技术进步。为了缩小与传统措施的差距，我们将潜在产出的衡量标准定义为仅由增长率冲击产生的有效产出的组成部分。我们的潜在增长表现出高度的平稳性，并且与传统措施密切相关。此外，我们衡量潜在产出的产出缺口具有对通胀的预测能力。我们分析了我们的衡量标准对货币政策规则、劳动力供应冲击、价格和工资加成冲击以及技术冲击的敏感性，以及数据修正和更新的稳健性。
In this paper, we calculate the potential output and the output gap using a Bayesian-estimated DSGE model of Japan's economy. The model is a two-sector growth model that takes into account growth rate shocks including investment-goods sector-specific technological progress. For bridging the gap with conventional measures, we define our measure of potential output as a component of the efficient output generated only by growth rate shocks. Our potential growth displays a high degree of smoothness and moves closely with conventional measures. Moreover, the output gap from our measure of potential output has forecasting power for inflation. We analyze the sensitivity of our measure to the specifications of monetary policy rules, labor supply shocks, price and wage markup shocks, and technology shocks as well as the robustness with respect to data revisions and updates.