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Output Gap in Russian Economy: Estimate Based on the IMF’s Multivariate Filter
[Разрыв Выпуска В Российской Экономике: Оценка На Основе Многомерного Фильтра Мвф]

Author

Listed:
  • Artur R. Sharafutdinov

    (Russian Presidential Academy of National Economy and Public Administration; Monetary Policy Department, Bank of Russia)

Abstract

The article estimates the quarterly dynamics of the output gap using a simple multivariate filter based on data on GDP, inflation and unemployment in accordance with the work of the IMF, taking into account the Phillips curve describing the impact of the output gap on the inflation process, and Okun’s law describing the relationship between the unemployment gap and output gap. The resulting estimate for the first three quarters of 2022 turned out to be 2 p.p. higher than the similar indicator estimated using the univariate statistical Hodrick–Prescott filter, and amounted to -0.4% in Q3 2022, partly due to the negative unemployment gap, -1.1% in Q3 2022, which is a feature of the current restructuring in contrast to the crises of 2008–2009, 2015 and 2020. The article was prepared within the framework of the scholarship program for graduate students and the implementation of the research work of the state task of RANEPA.

Suggested Citation

  • Artur R. Sharafutdinov, 2023. "Output Gap in Russian Economy: Estimate Based on the IMF’s Multivariate Filter [Разрыв Выпуска В Российской Экономике: Оценка На Основе Многомерного Фильтра Мвф]," Russian Economic Development, Gaidar Institute for Economic Policy, issue 4, pages 15-23, April.
    • Handle: RePEc:gai:recdev:r2327
    as

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    References listed on IDEAS

    as
    1. E. A. Orlova & D. R. Belousov & D. I. Galimov, 2020. "A Model of Potential GDP and Output Gap for the Russian Economy," Studies on Russian Economic Development, Springer, vol. 31(2), pages 171-180, March.
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    5. Pierre St-Amant & Simon van Norden, 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada.
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    More about this item

    Keywords

    output gap; unemployment gap; multivariate filter; Okun’s law; Phillips curve; conjuncture;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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