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Statistical versus economic output gap measures: evidence from Mongolia

Author

Listed:
  • Julia Bersch

    (International Monetary Fund)

  • Tara M. Sinclair

    (George Washington University)

Abstract

This paper compares the output gap estimates based on a number of different methods. We take advantage of the unique properties of the Mongolian economy in order to evaluate the different approaches. We find that an economic measure derived from a Blanchard and Quah-type joint model of output and inflation provides a more robust estimate of the output gap than the traditional statistical decompositions.

Suggested Citation

  • Julia Bersch & Tara M. Sinclair, 2014. "Statistical versus economic output gap measures: evidence from Mongolia," Economics Bulletin, AccessEcon, vol. 34(3), pages 1864-1874.
    • Handle: RePEc:ebl:ecbull:eb-14-00022
    as

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    References listed on IDEAS

    as
    1. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-673, September.
    2. Mr. Ebrima A Faal, 2005. "GDP Growth, Potential Output, and Output Gaps in Mexico," IMF Working Papers 2005/093, International Monetary Fund.
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    4. International Monetary Fund, 2010. "Estimates of the Output Gap in Armenia with Applications to Monetary and Fiscal Policy," IMF Working Papers 2010/197, International Monetary Fund.
    5. Canova, Fabio, 1998. "Detrending and business cycle facts: A user's guide," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 533-540, May.
    6. Christian J. Murray, 2003. "Cyclical Properties of Baxter-King Filtered Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 472-476, May.
    7. International Monetary Fund, 2010. "Papua New Guinea: Selected Issues Paper and Statistical Appendix," IMF Staff Country Reports 2010/163, International Monetary Fund.
    8. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
    9. International Monetary Fund, 2010. "Peru: Selected Issues," IMF Staff Country Reports 2010/099, International Monetary Fund.
    10. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Blanchard-Quah Decomposition; Nonmineral GDP; Hodrick-Prescott Filter; Christiano-Fitzgerald Filter;
    All these keywords.

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables

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