Unobserved components of key macroeconomic indicators: modern approaches and estimation methods

Objective. The study aims to examine unobserved macroeconomic components and identify the methods used to estimate them in the contemporary theoretical literature.

Methodology. Based on a review of recent literature, the paper summarizes theoretical approaches to defining and empirical approaches to estimating the unobserved components of key macroeconomic variables. The analysis focuses on output, unemployment, and inflation, as well as their trend components (potential output, the natural rate of unemployment, and trend inflation) and the corresponding gaps.

Results. The paper defines the relevant indicators and discusses their application and estimation in semi-structural macroeconomic models. It reviews methods for filtering and decomposing data into trend and cyclical components. It also provides a comparative analysis of studies estimating potential output and the output gap using unobserved-components models.

Conclusions. The findings show that semi-structural unobserved components models are widely used to estimate the output gap, trend inflation, and the natural rate of unemployment. Compared with DSGE models, semi-structural models are easier to construct and provide a clearer representation of the mechanisms underlying individual macroeconomic variables.