Browsing by author "Wong, Benjamin"
Sort by:
Title A-Z
-
Cyclical signals from the labor market
Morley, James; Berger, Tino; Boll, Paul David; Wong, BenjaminPublished 2022We consider which labor market variables are the most informative for estimating and nowcasting the US output gap using a multivariate trend-cycle decomposition. Although the unemployment rate clearly contains important ...Open AccessArticle -
Estimating and accounting for the output gap with large Bayesian vector autoregressions
Morley, James; Wong, BenjaminPublished 2020We consider how to estimate the trend and cycle of a time series, such as real gross domestic product, given a large information set. Our approach makes use of the Beveridge–Nelson decomposition based on a vector autoregression, ...Article -
Estimating the euro area output gap using multivariate information and addressing the COVID-19 pandemic
Morley, James; Rodriguez-Palenzuela, Diego; Sun, Yiqiao; Wong, BenjaminPublished 2023We estimate the euro area output gap by applying the Beveridge–Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range ...Article -
Nowcasting the output gap
Berger, Tino; Morley, James; Wong, BenjaminPublished 2020We propose a way to directly nowcast the output gap using the Beveridge–Nelson decomposition based on a mixed-frequency Bayesian VAR. The mixed-frequency approach produces similar but more timely estimates of the U.S. ...Article -
A Simple Correction for Misspecification in Trend-Cycle Decompositions with an Application to Estimating r*
Morley, James; Tran, Trung Duc; Wong, BenjaminPublished 2024We propose a simple correction for misspecification in trend-cycle decompositions when the stochastic trend is assumed to be a random walk process but the estimated trend displays some serial correlation in first differences. ...Article
Sort by:
Title A-Z