Output Gap estimation, estimation uncertainty and its effect on policy rules
Vol. 17. No. 34. Diciembre, 1998. Pág.: 89-117.
Fecha de publicación1998-12
Idioma del documentoeng
The authors propose a short run model for the monetary transmission mechanism in which the output gap is model as an unobserved variable. By estimating this model using maximum likelihood on a Kalman Filter, the authors find an estimate of the unobserved output gap as well as its estimation uncertainty. The performance of monetary rules is studied both with certainty on the output gap values as well as with estimation uncertainty.