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Statistical Versus Economic Output Gap Measures: Evidence from Mongolia

Author

Listed:
  • Tara Sinclair

    (George Washington University)

  • Julia Bersch

    (International Monetary Fund)

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

  • Tara Sinclair & Julia Bersch, 2013. "Statistical Versus Economic Output Gap Measures: Evidence from Mongolia," Working Papers 2013-7, The George Washington University, Institute for International Economic Policy.
    • Handle: RePEc:gwi:wpaper:2013-7
    as

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    File URL: http://www.gwu.edu/~iiep/assets/docs/papers/Sinclair_IIEPWP2013-7.pdf
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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.
    3. Lawrence J. Christiano & Terry J. Fitzgerald, 2003. "The Band Pass Filter," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, May.
    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:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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