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  • Wojciech Maliszewski
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    Abstract

    The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is consistent with a broader analysis of economic developments. Output gaps obtained from the HP detrending are subject to larger revisions than series obtained from a suitably adjusted model, and may be misleading compared to the model-based measure.

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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=23858
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    Bibliographic Info

    Paper provided by International Monetary Fund in its series IMF Working Papers with number 10/149.

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    Length: 25
    Date of creation: 01 Jun 2010
    Date of revision:
    Handle: RePEc:imf:imfwpa:10/149

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    Related research

    Keywords: Economic growth; Vietnam; Production; Transition economies; Economic models; inflation; equation; equations; real interest rate; monetary policy; time series; statistics; curve equation; bayesian analysis; random walk; markov chain; estimation procedure; estimation method; stochastic processes; inflation dynamics; inflation rates; random errors; random walk process; high inflation; price level; confidence intervals; estimation of parameters; samples; time series analysis; graphical analysis; survey; econometrics; normal distributions; inflation equation; gamma distributions; standard deviations; actual inflation; linear models;

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    1. Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
    2. Shekhar Aiyar & Ivan Tchakarov, 2008. "Much Ado About Nothing? Estimating the Impact of a U.S. Slowdownon Thai Growth," IMF Working Papers 08/140, International Monetary Fund.
    3. Ozbek, Levent & Ozlale, Umit, 2005. "Employing the extended Kalman filter in measuring the output gap," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1611-1622, September.
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