Unobservable-Component Estimates of Output Gaps in Five Asian Economies
AbstractThis paper estimates output gaps for Hong Kong, Korea, the Philippines, Singapore and Taiwan, employing the HP filter and unobservable-components (UC) techniques. The latter approach assumes that actual output is the sum of potential output, which follows a random walk with a time-varying drift, and a stationary output gap. While the results imply that UC methods are useful in estimating output gaps in Asia, simple Phillips curves suggest that the information contents of the two measures of the gap are essentially identical. The main advantage of the UC technique is that it allows the construction of confidence bands for the gap.
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Bibliographic InfoPaper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number 052002.
Length: 22 pages
Date of creation: Feb 2002
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Other versions of this item:
- Gerlach, Stefan & Yiu, Matthew, 2002. "Unobservable-Components Estimates of Output Gaps in Five Asian Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3393, C.E.P.R. Discussion Papers.
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
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