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

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

Domains: Humanities and Social Sciences; Economics and Finance

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⟩