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.
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Brand, T., Dufrénot, G., Mayerowitz, A. (2021). A State-Space Model to Estimate Potential Growth in the Industrialized Countries. In: Dufrénot, G., Matsuki, T. (eds) Recent Econometric Techniques for Macroeconomic and Financial Data. Dynamic Modeling and Econometrics in Economics and Finance, vol 27. Springer, Cham. https://doi.org/10.1007/978-3-030-54252-8_3
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DOI: https://doi.org/10.1007/978-3-030-54252-8_3
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