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Vietnam: Bayesian Estimation of Output Gap

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  • Wojciech Maliszewski

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.

Suggested Citation

  • Wojciech Maliszewski, 2010. "Vietnam: Bayesian Estimation of Output Gap," IMF Working Papers 2010/149, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2010/149
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    References listed on IDEAS

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    1. Ulrich Camen, 2006. "Monetary policy in Vietnam: the case of a transition country," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in Asia: approaches and implementation, volume 31, pages 232-252, Bank for International Settlements.
    2. Mr. Jaromir Benes & Mr. Papa M N'Diaye, 2004. "A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic," IMF Working Papers 2004/045, International Monetary Fund.
    3. Mr. Shekhar Aiyar & Mr. Ivan Tchakarov, 2008. "Much Ado About Nothing? Estimating the Impact of a U.S. Slowdown on Thai Growth," IMF Working Papers 2008/140, International Monetary Fund.
    4. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
    5. 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.
    6. Planas, Christophe & Rossi, Alessandro & Fiorentini, Gabriele, 2008. "Bayesian Analysis of the Output Gap," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 18-32, January.
    7. Bank for International Settlements, 2006. "Monetary policy in Asia: approaches and implementation," BIS Papers, Bank for International Settlements, number 31.
    8. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
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    Cited by:

    1. Bhattacharya, Rina, 2014. "Inflation dynamics and monetary policy transmission in Vietnam and emerging Asia," Journal of Asian Economics, Elsevier, vol. 34(C), pages 16-26.
    2. Chalmovianský, Jakub & Němec, Daniel, 2022. "Assessing uncertainty of output gap estimates: Evidence from Visegrad countries," Economic Modelling, Elsevier, vol. 116(C).
    3. Fethi Ogunc & Cagri Sarikaya, 2011. "Gorunmez Ama Hissedilmez Degil : Turkiye'de Cikti Acigi," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 11(2), pages 15-28.
    4. Hang Pham, 2020. "Estimating the Output Gap for Emerging Countries: Evidence from Five Southeast Asia Countries," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 7(2), pages 61-73.

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