RBNZ paper develops ‘intuitive and reliable’ output gap measure

Authors turn to a “Beveridge-Nelson filter” to produce an output gap estimate that performs better than those produced by other filtering techniques

The Reserve Bank of New Zealand

A paper recently published by the Reserve Bank of New Zealand (RBNZ) proposes a new method of estimating the output gap that seems to outperform some other measures.

Authors Güneş Kamber, James Morley and Benjamin Wong use a Beveridge-Nelson (BN) decomposition as their starting point. BN methods define the trend as the long-horizon forecast – but while “conceptually simple and elegant”, they also possess properties “highly at odds” with widely held beliefs on the dynamics of the output gap.


Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@centralbanking.com or view our subscription options here: http://subscriptions.centralbanking.com/subscribe

You are currently unable to copy this content. Please contact info@centralbanking.com to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Central Banking? View our subscription options

Register for Central Banking

All fields are mandatory unless otherwise highlighted

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Central Banking account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account