Estimación del producto potencial y la brecha de producto para Uruguay: un Modelo de Vectores Autorregresivos Estructural (SVAR) y otras medidas alternativas

This paper estimates the output gap and the potential output for the Uruguayan economy between years 1975 and 2011. These two variables are crucial in different areas of economic policy, and of particular relevance to monetary policy. A positive output gap is one of the main indicators of the presence of inflationary pressures in the economy. The paper estimates a SVAR model with a widely used methodology based on the economic theory. The obtained results and estimations of the output gap and potential output are contrasted with those arising from the application of a set of methodologies such as those derived from the application of statistical filters on the product series or the application of model-based approaches. The results show that the SVAR estimations diverge from those obtained with other techniques, particularly univariate methods of filtering the GDP series. The estimation of potential GDP obtained by SVAR method shows greater volatility than those attained with the application of filters, while the output gap seems to show less persistence. The paper also analyzes the correlation for the entire period between each of the estimated gaps and three measures of inflation: headline inflation, nontradables inflation and underlying inflation. The results show that the relationship between the output gap and the inflation measures is quite weak, which questions its use as a signal of the situation of the economic activity. However, by the end of the sample the correlation between inflation and the output gap obtained with the SVAR model is becoming increasingly stronger.