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

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  • Jaromir Benes
  • Papa M N'Diaye

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.

Suggested Citation

  • Jaromir Benes & Papa M N'Diaye, 2004. "A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic," IMF Working Papers 04/45, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:04/45
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    References listed on IDEAS

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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 231-247, July-Sept.
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    Cited by:

    1. Adolfo Cobo, 2005. "Output Gap In Colombia: An Eclectic Approach," BORRADORES DE ECONOMIA 003310, BANCO DE LA REPÚBLICA.
    2. 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.
    3. Andreas Billmeier, 2006. "Measuring a Roller Coaster: Evidence on the Finnish Output Gap," Finnish Economic Papers, Finnish Economic Association, vol. 19(2), pages 69-83, Autumn.
    4. Adolfo L.Cobo, 2005. "Output Gap in Colombia: An Eclectic Approach," Borradores de Economia 327, Banco de la Republica de Colombia.
    5. Roman Horv??th, 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.
    6. 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.
    7. Hjelm, Göran & Jönsson, Kristian, 2010. "In Search of a Method for Measuring the Output Gap of the Swedish Economy," Working Papers 115, National Institute of Economic Research.
    8. Patrick Blagrave & Marika Santoro, 2016. "Estimating Potential Output in Chile; A Multivariate Filter for Mining and Non-Mining Sectors," IMF Working Papers 16/201, International Monetary Fund.
    9. Brain Micallef, "undated". "A multivariate filter to estimate potential output and NAIRU for the Maltese economy," CBM Working Papers WP/05/2014, Central Bank of Malta.
    10. Patrick Blagrave & Roberto Garcia-Saltos & Douglas Laxton & Fan Zhang, 2015. "A Simple Multivariate Filter for Estimating Potential Output," IMF Working Papers 15/79, International Monetary Fund.
    11. Horváth, Roman, 2009. "The time-varying policy neutral rate in real-time: A predictor for future inflation?," Economic Modelling, Elsevier, vol. 26(1), pages 71-81, January.
    12. Ali Alichi, 2015. "A New Methodology for Estimating the Output Gap in the United States," IMF Working Papers 15/144, International Monetary Fund.
    13. 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.
    14. International Monetary Fund, 2011. "Republic of Poland; Selected Issues," IMF Staff Country Reports 11/167, International Monetary Fund.
    15. 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.
    16. Beneš, Jaromí­r & Vávra, David, 2005. "Eigenvalue filtering in VAR models with application to the Czech business cycle," Working Paper Series 549, European Central Bank.

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