A1212
Title: Estimating the U.S. output gap using industry level data
Authors: Gianni Amisano - Federal Reserve Board (United States) [presenting]
Abstract: U.S. sectoral data are used to try and improve a model-based measure of the output gap. We devise a panel trend-cycle model in which each sector's output, wage inflation, and a proxy for sectoral unemployment are decomposed into cyclical and trend components. Each of these components has a factor structure, with a common, economy-wide factor and sectoral idiosyncrasies. The cyclical component of each sector is linked across variables by Okuns law and a wage Phillips curve. Our results so far show that sector-specific developments generate diverging measures of sectoral slack and that the common cyclical component has different degrees of relevance across sectors. In addition, the resulting measure of the U.S. output gap is more precisely estimated and smaller than that obtained using aggregate data.
