A wavelet filtering based estimation of output gap

Mitra, Sharmishtha; Maheswari, Vidit; Mitra, Amit

doi:10.1016/j.amc.2011.09.013

Cited by 6 publications

(6 citation statements)

References 15 publications

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“…When calculating the output gap, considering that the commonly used HP filter method is too subjective when filtering the noise to obtain the long-term economic variables trend, this article chooses a more objective and rigorous wavelet filter. Obtain potential output ( 35 ). The output is divided into two parts: trend component and periodic component.…”

Section: Datamentioning

confidence: 99%

Research on the Dynamic Feedback Mechanism of Fiscal Policy Regulation Under COVID-19: Evidence From China

Wang

Gao

Zhou

2022

Front. Public Health

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The repeated outbreak of COVID-19 epidemic has brought a heavy blow to the world economy. Fiscal policy is one of the important macro-control measures to pull the economy out of the quagmire, and it is necessary to study the implementation of fiscal policy under the epidemic. Due to the relatively abundant resources of the Chinese government, this study uses China as the research object to study the orientation of fiscal policy under COVID-19 epidemic. We use fiscal policies and a large amount of macroeconomic data to identify fiscal policy and macroeconomic regulation's dynamic mechanism in China. Our findings indicate a dynamic feedback relationship between expenditure-based and revenue-based fiscal policy tools, output gaps, and deficit scales. Before the global economic crisis, fiscal policy can play a good role in adversely regulating the economy, and the difficulty of adjustment after the crisis has increased significantly. During COVID-19 epidemic, the interaction time between variables related to fiscal policy increased, suggesting that the implementation of fiscal policy during the epidemic should be particularly cautious.

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Section: Datamentioning

confidence: 99%

Research on the Dynamic Feedback Mechanism of Fiscal Policy Regulation Under COVID-19: Evidence From China

Wang

Gao

Zhou

2022

Front. Public Health

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“…O hiato do produto foi calculado pela diferença entre a produção industrial e a tendência obtida pelo filtro HP. 3 Em razão da disponibilidade de dados mensais, o emprego da produção industrial como uma proxy para o PIB é uma alternativa encontrada em alguns estudos que demandam uma quantidade maior de observações e que utilizam a metodologia wavelets, ver Gallegati & Gallegati (2007), Mitra et al (2011) e Tiwari et al (2014). Destaca-se a alegação empírica de Gallegati & Gallegati (2007) para o uso da produção industrial.…”

Section: Os Dadosunclassified

“…Segundo esses autores, embora o peso do setor de serviços nas economias industrializadas possa comprometer o papel da produção industrial como um bom indicador da atividade econômica, existem evidências de que os resultados obtidos com a produção industrial são qualitativamente similares aos obtidos usando o PIB. Além disso, como argumenta Mitra et al (2011), a produção industrial reflete, de alguma forma, o nível de utilização efetiva dos recursos produtivos, como tecnologia, matéria-prima e trabalho e, em uma perspectiva global, ocorre a difusão do desempenho do setor industrial sobre a economia como um todo. Todavia, limitações sempre devem ser consideradas.…”

Section: Os Dadosunclassified

Retorno de ações, inflação e atividade econômica

Silva

Caetano²

2019

Econ. Aplic.

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O trabalho investiga empiricamente as relações entre retorno de ações, inflação e atividade econômica para dados mensais brasileiros (1996-2017). Analisamos a variância e correlação wavelet e estimamos regressões em níveis de escala. Os resultados não corroboram a hipótese principal de que a relação negativa entre retorno real de ações e inflação seria induzida por uma relação negativa entre a inflação e a atividade econômica. Além disso, a relação entre retorno real de ações e a atividade econômica não é independente da inflação. Em termos de escala, na inflação e hiato do produto predominam ciclos de médio e longo prazos, enquanto na composição da taxa de crescimento da produção industrial e do retorno real do índice acionário, o componente de curto prazo é o determinante.

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“…It can also effectively capture time-varying shock forms of monetary policy tools, output, and inflation under different economic backgrounds. In particular, a more accurate wavelet filtering method is adopted to measure the output gap ( 4 ). Second, through combing the historical evolution of China's monetary policy orientation, a background data set is constructed with a large number of macroeconomic variables related to the implementation of monetary policy.…”

Section: Introductionmentioning

confidence: 99%

Research on China's Monetary Policy Orientation and Regulation in COVID-19

Zhou

Huang

Wang

2022

Front. Public Health

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The outbreak of COVID-19 in 2019 has caused a huge impact on the global economy. In this context, it is of great significance to study the orientation and regulation of China's monetary policy, which aims to mitigate the external impact brought by COVID-19. Therefore, this paper uses the SV-TVP-FAVAR model to analyze the dynamic relationships among interest rate, inflation gap and output gap. The main conclusions are as follows. First, the output gap has a significant impact on the adjustment of the interest rate and inflation gap. In the COVID-19 era, the former response is positive and the latter response is negative. Second, the impact of the inflation gap on the interest rate fluctuates frequently, but the impact has gradually weakened in recent years. In addition, the inflation gap shows a significant positive response to the impact of the output gap. Third, interest rate is characterized by targeting the output gap and the inflation gap in the short term. However, in the period of COVID-19, the regulation effect of China's monetary policy on the inflation gap and the output gap has weakened. Meanwhile, compared with targeting the output gap, monetary policy has a more obvious orientation to control inflation.

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A wavelet filtering based estimation of output gap

Cited by 6 publications

References 15 publications

Research on the Dynamic Feedback Mechanism of Fiscal Policy Regulation Under COVID-19: Evidence From China

Research on the Dynamic Feedback Mechanism of Fiscal Policy Regulation Under COVID-19: Evidence From China

Retorno de ações, inflação e atividade econômica

Research on China's Monetary Policy Orientation and Regulation in COVID-19

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