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System estimates of potential output and the NAIRU

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Author Info
Mikael Apel () (Economics Department, Sveriges Riksbank, S-103 37 Stockholm, Sweden)
Per Jansson () (Economics Department, Sveriges Riksbank, S-103 37 Stockholm, Sweden)

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Abstract

This paper proposes a new approach for estimating potential output and the NAIRU. The methodology models these key unobservable economic variables as latent stochastic trends within a trivariate system of observables comprising information on unemployment, GDP, and inflation. Identification is achieved through the use of a standard version of Okun's law and a Phillips curve. The performance of the procedure is investigated using Swedish quarterly data covering the time period 1970:1-1996:3.

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Publisher Info
Article provided by Springer in its journal Empirical Economics.

Volume (Year): 24 (1999)
Issue (Month): 3 ()
Pages: 373-388
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Handle: RePEc:spr:empeco:v:24:y:1999:i:3:p:373-388

Note: received: June 1997/final version received: September 1998
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Related research
Keywords: Kalman filter · NAIRU · Okun's law · Phillips curve · potential output · structural time-series models · unobserved-components models;

Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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This page was last updated on 2009-11-7.

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