Estimating Potential Output with a Multivariate Filter
AbstractThis paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates, we find that the financial crisis has resulted in a reduction in potential output.
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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 10/285.
Date of creation: 01 Dec 2010
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-01-03 (All new papers)
- NEP-EEC-2011-01-03 (European Economics)
- NEP-MAC-2011-01-03 (Macroeconomics)
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- Phurichai Rungcharoenkitkul, 2012. "Modeling with Limited Data: Estimating Potential Growth in Cambodia," IMF Working Papers 12/96, International Monetary Fund.
- Task Force of the Monetary Policy Committee of the European System of Central Banks, 2012. "Euro area labour markets and the crisis," Occasional Paper Series 138, European Central Bank.
- Miroslav Plašil, 2011. "Potential Product, Output Gap and Uncertainty Rate Associated with Their Determination while Using the Hodrick-Prescott Filter," Politická ekonomie, University of Economics, Prague, vol. 2011(4), pages 490-507.
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- Michal Andrle, 2013. "What Is in Your Output Gap? Unified Framework & Decomposition into Observables," IMF Working Papers 13/105, International Monetary Fund.
- Andrle, Michal, 2012.
"Understanding DSGE Filters in Forecasting and Policy Analysis,"
Dynare Working Papers
- Michal Andrle, 2013. "Understanding DSGE Filters in Forecasting and Policy Analysis," IMF Working Papers 13/98, International Monetary Fund.
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