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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 10/149, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:10/149
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    References listed on IDEAS

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    1. 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.
    2. 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.
    3. Shekhar Aiyar & Ivan Tchakarov, 2008. "Much Ado About Nothing? Estimating the Impact of a U.S. Slowdown on Thai Growth," IMF Working Papers 08/140, International Monetary Fund.
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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. 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.

    More about this item

    Keywords

    Inflation; Output Gap; Unobservable Component Model; Bayesian Methods; equation; equations; real interest rate; monetary policy; Model Construction and Estimation; Viet Nam;

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