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Forecasting output gaps in the G-7 countries: the role of correlated innovations and structural breaks

机译：预测七国集团国家中的产出缺口：相关创新和结构性突破的作用

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摘要

Trend GDP and output gaps play an important role in fiscal and monetary policy formulation, often including the need for forecasts. In this article, we focus on forecasting trend GDP and output gaps with Beveridge-Nelson trend-cycle decompositions trend-cycle decompositions and investigate how these are affected by assumptions concerning correlated innovations and structural breaks. We evaluate expanding window, one-step-ahead forecasts indirectly for the G-7 countries on the basis of real GDP growth rate forecasts. We find that correlated innovations affect real GDP growth rate forecasts positively, while allowing for structural breaks works for some countries but not for all. In the face of uncertainty, the evidence supports that in making forecasts of trends and output gap policy-makers should focus on allowing for the correlation of shocks as an order of priority higher than unknown structural breaks.
机译：趋势GDP和产出缺口在财政和货币政策制定中起着重要作用，通常包括对预测的需求。在本文中，我们着重于通过Beveridge-Nelson趋势周期分解来预测趋势GDP和产出缺口，并研究相关创新和结构性断裂的假设如何影响这些结果。我们根据实际GDP增长率预测，间接评估了七国集团（G-7）国家的扩大窗口，一步一步的预测。我们发现，相关的创新会积极地影响实际GDP增长率的预测，同时允许结构性打破对某些国家有效，但对所有国家而言并非如此。面对不确定性，有证据支持，在预测趋势和产出缺口时，决策者应着重于将冲击的相关性作为优先顺序，而不是未知的结构性中断。

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