output gap, real-time, density forecasts, density forecast combination, Taylor rules

Should we be surprised by the unreliability of real-time output gap estimates? Density estimates for

Output gap estimates calculated in real-time are known to be often unreliable. Recent work has found that, without the benefit of hindsight, it can prove difficult for policy-makers to pin down accurately the current position of the output gap. However, attention primarily has focussed on output gap point estimates alone. This paper considers output gap estimates and their uncertainty more generally.