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A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

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Author Info

  • Jaromir Benes
  • Papa M'B. P. N'Diaye
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    Abstract

    This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more information to condition the paths of potential output and the non accelerating inflation rate of unemployment (NAIRU) improves on univariate methods as the Hodrick-Prescott (HP) filter.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=17214
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 04/45.

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    Length: 31
    Date of creation: 01 Mar 2004
    Date of revision:
    Handle: RePEc:imf:imfwpa:04/45

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    Related research

    Keywords: Unemployment; Production; Economic models; nairu; equation; equations; covariance; random walk; unemployment rate; forecasting; standard deviations; time series; constant term; rate of change; rate of unemployment; econometrics; random variables; correlation; time series analysis; samples; prediction; structural unemployment; survey;

    References

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    1. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-47, July-Sept.
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    Citations

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    Cited by:
    1. Andreas Billmeier, 2004. "Measuring a Roller Coaster," IMF Working Papers 04/57, International Monetary Fund.
    2. Roman Horvath, 2007. "The Time-Varying Policy Neutral Rate in Real Time: A Predictor for Future Inflation?," Working Papers 2007/4, Czech National Bank, Research Department.
    3. Kappler, Marcus, 2007. "Projecting the Medium-Term: Outcomes and Errors for GDP Growth," ZEW Discussion Papers 07-068, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    4. Beneš, Jaromír & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series 0549, European Central Bank.
    5. Adolfo Cobo, 2005. "Output Gap In Colombia: An Eclectic Approach," BORRADORES DE ECONOMIA 003310, BANCO DE LA REPÚBLICA.
    6. Jaromir Benes & David Vavra, 2004. "Eigenvalue Decomposition of Time Series with Application to the Czech Business Cycle," Working Papers 2004/08, Czech National Bank, Research Department.
    7. Adolfo L.Cobo, . "Output Gap in Colombia: An Eclectic Approach," Borradores de Economia 327, Banco de la Republica de Colombia.
    8. L Christopher Plantier & Ozer Karagedikli, 2005. "Do so-called multivariate filters have better revision properties? An empirical analysis," Computing in Economics and Finance 2005 250, Society for Computational Economics.
    9. Roman Horváth, 2006. "Real-Time Time-Varying Equilibrium Interest Rates: Evidence on the Czech Republic," William Davidson Institute Working Papers Series wp848, William Davidson Institute at the University of Michigan.
    10. Hjelm, Göran & Jönsson, Kristian, 2010. "In Search of a Method for Measuring the Output Gap of the Swedish Economy," Working Paper 115, National Institute of Economic Research.
    11. Michael Graff, 2004. "Estimates of the output gap in real time: how well have we been doing?," Reserve Bank of New Zealand Discussion Paper Series DP 2004/04, Reserve Bank of New Zealand.

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