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Multivariate Filter for Estimating Potential Output and Output Gap in Turkey

Author

Listed:
  • Selen Andic

Abstract

This paper estimates the potential output and output gap in Turkey using a multivariate filter. The filter employed links the output gap to slack in the labor market and changes in inflation. Additionally, it produces the output gap taking into account some macroeconomic variables. Though end-of-sample problem remains an issue, results show that the output gap estimates provided by the multivariate filter have a stronger relationship with inflation and are subject to smaller revisions compared to the Hodrick-Prescott filter.

Suggested Citation

  • Selen Andic, 2018. "Multivariate Filter for Estimating Potential Output and Output Gap in Turkey," Working Papers 1807, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    • Handle: RePEc:tcb:wpaper:1807
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    File URL: https://www.tcmb.gov.tr/wps/wcm/connect/EN/TCMB+EN/Main+Menu/Publications/Research/Working+Paperss/2018/18-07
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    More about this item

    Keywords

    Filter; Potential growth; Output gap; Turkey;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General

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