Skip to Main content Skip to Navigation
Book sections

A State-Space Model to Estimate Potential Growth in the Industrialized Countries

Thomas Brand 1 Gilles Dufrénot 2, 3 Antoine Mayerowitz 4
1 CEPREMAP - Centre pour la recherche économique et ses applications
2 AMSE - Aix-Marseille Sciences Economiques
3 CEPII - Centre d'Etudes Prospectives et d'Informations Internationales
4 PSE - Paris School of Economics
Abstract : This paper proposes new estimates of potential growth for 5 major industrialized countries. We use a state-space approach to obtain joint estimates of potential growth and the natural interest rates. The model is a reduced-form of a partial equilibrium model with a Phillips curve and an IS curve. In addition to the usual determinants of prices and business fluctuations, we consider financial variables as a determinant of the business cycle.
Keywords : Potential growth state-space models long-memory industrialized countries
Document type :
Book sections
Complete list of metadata
https://hal-amu.archives-ouvertes.fr/hal-03186631
Contributor : Elisabeth Lhuillier <>
Submitted on : Wednesday, March 31, 2021 - 11:20:49 AM
Last modification on : Friday, April 2, 2021 - 3:09:48 AM

Identifiers

Collections

UNIV-AMU | EHESS | PSL | ENS-PARIS | UNIV-PARIS1 | ENPC | CNRS | PSE | INRAE | PSE-POST-PRINT | EC-MARSEILLE | AMSE | PARISTECH

Citation

Thomas Brand, Gilles Dufrénot, Antoine Mayerowitz. A State-Space Model to Estimate Potential Growth in the Industrialized Countries. Dufrénot Gilles; Takashi Matsuki. Recent Econometric Techniques for Macroeconomic and Financial Data, 27, Springer, pp.61-77, 2021, Dynamic Modeling and Econometrics in Economics and Finance, 978-3-030-54251-1. ⟨10.1007/978-3-030-54252-8_3⟩. ⟨hal-03186631⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

45