Implementation of a finance-neutral output gap as explained in "Rethinking Potential Output" paper by Borio et al (2015). The files implement Model 4, 5 and 6 explained in the paper below.
For e.g Model 6 uses both variables that jointly proxy the financial cycle – credit and property prices.
real_time_plot.py compares the real-time(expanding window) and ex-post (whole sample) estimates of a HP filtered output gap and finance-neutral gap.
Note: For running the code, please input the Fred api key in the get_fredapi_data fn in state_space_filters.py script
The paper is available at the below link: https://www.pier.or.th/wp-content/uploads/2015/09/pier_dp_005.pdf