Abstract
This article performs a comparative study of alternative Brazilian output gap measures. In addition to characterizing business cycles, it measures the inflation-output relationships and also examines each alternative’s contributions to inflation forecasting. The output gaps are shown to be highly correlated among each other and the business cycle phases that they indicate coincide with those of the CODACE (Business Cycle Dating Committee). The output gap measures seem to capture the positive inflation-output gap relationship suggested in the Phillips curve, beating the univariate autoregressive inflation model in terms of inflation prediction. Among the analyzed gaps, a simplified version of Labauch and Williams (2003) provides the best forecasts.
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