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Estimating Potential Output with a Multivariate Filter

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Cited by:

  1. Johannes W. Fedderke & Daniel K. Mengisteab, 2017. "Estimating South Africa's Output Gap and Potential Growth Rate," South African Journal of Economics, Economic Society of South Africa, vol. 85(2), pages 161-177, June.
  2. Duarte, Cláudia & Maria, José R. & Sazedj, Sharmin, 2020. "Trends and cycles under changing economic conditions," Economic Modelling, Elsevier, vol. 92(C), pages 126-146.
  3. CHAFIK, Omar, 2018. "Financial cycle and conduct of monetary policy: theory and empirical evidence," MPRA Paper 88995, University Library of Munich, Germany.
  4. Ms. Valerie Cerra & Ms. Sweta Chaman Saxena, 2017. "Booms, Crises, and Recoveries: A New Paradigm of the Business Cycle and its Policy Implications," IMF Working Papers 2017/250, International Monetary Fund.
  5. CHAFIK, Omar, 2018. "Financial cycle and conduct of monetary policy: The amplifier/divider theory," MPRA Paper 89170, University Library of Munich, Germany.
  6. Enrique Alberola-Ila & Rocío Gondo & Marco Jacopo Lombardi & Diego Urbina, 2016. "Output gaps and policy stabilisation in Latin America: the effect of commodity and capital flow cycles," BIS Working Papers 568, Bank for International Settlements.
  7. Chikako Baba & Mr. Salvatore Dell'Erba & Ms. Enrica Detragiache & Olamide Harrison & Ms. Aiko Mineshima & Anvar Musayev & Asghar Shahmoradi, 2020. "How Should Credit Gaps Be Measured? An Application to European Countries," IMF Working Papers 2020/006, International Monetary Fund.
  8. Narek Ghazaryan, 2014. "Short Term Forecasting System of Private Demand Components in Armenia," Working Papers 3, Central Bank of Armenia, revised Dec 2015.
  9. Mr. Roberto Garcia-Saltos & Fan Zhang & Iulia Ruxandra Teodoru, 2016. "Potential Output Growth Estimates for Central America and the Dominican Republic," IMF Working Papers 2016/250, International Monetary Fund.
  10. Pau Rabanal & Marzie Sanjani, 2015. "Incorporating Financial Cycles in Output Gap Measures: Estimates for the Euro Area," 2015 Meeting Papers 426, Society for Economic Dynamics.
  11. Andrle, Michal, 2012. "Understanding DSGE Filters in Forecasting and Policy Analysis," Dynare Working Papers 16, CEPREMAP.
  12. repec:pra:mprapa:46125 is not listed on IDEAS
  13. Mónica Correa-López & Matías Pacce & Kathi Schlepper, 2019. "Exploring trend inFLation dynamics in Euro Area countries," Working Papers 1909, Banco de España.
  14. Marko Melolinna & Máté Tóth, 2019. "Output gaps, inflation and financial cycles in the UK," Empirical Economics, Springer, vol. 56(3), pages 1039-1070, March.
  15. Ali Alichi & Olivier Bizimana & Silvia Domit & Emilio Fernández Corugedo & Mr. Douglas Laxton & Kadir Tanyeri & Hou Wang & Fan Zhang, 2015. "Multivariate Filter Estimation of Potential Output for the Euro Area and the United States," IMF Working Papers 2015/253, International Monetary Fund.
  16. Claudio BorioBy & Piti Disyatat & Mikael Juselius, 2017. "Rethinking potential output: embedding information about the financial cycle," Oxford Economic Papers, Oxford University Press, vol. 69(3), pages 655-677.
  17. Javier Gómez-Pineda & Mr. Dominique M. Guillaume & Kadir Tanyeri, 2015. "Systemic Risk, Aggregate Demand, and Commodity Prices," IMF Working Papers 2015/165, International Monetary Fund.
  18. Mourougane, Annabelle, 2017. "Crisis, potential output and hysteresis," International Economics, Elsevier, vol. 149(C), pages 1-14.
  19. Deba Prasad Rath & Pratik Mitra & Joice John, 2017. "A Measure of Finance-Neutral Output Gap for India," Working Papers id:11986, eSocialSciences.
  20. Mr. Phurichai Rungcharoenkitkul, 2012. "Modeling with Limited Data: Estimating Potential Growth in Cambodia," IMF Working Papers 2012/096, International Monetary Fund.
  21. Kátay Gábor & Kerdelhué Lisa & Lequien Matthieu, 2020. "Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap," Working papers 791, Banque de France.
  22. Ali Alichi & Hayk Avetisyan & Douglas Laxton & Shalva Mkhatrishvili & Armen Nurbekyan & Lusine Torosyan & Hou Wang & Armen Nurbekyan & Lusine Torosyan, 2019. "Multivariate Filter Estimation of Potential Output for the United States: An Extension with Labor Market Hysteresis," Working Papers 9, Central Bank of Armenia, revised Aug 2019.
  23. Garegnani, Lorena & Gómez Aguirre, Maximiliano, 2018. "Forecasting Inflation in Argentina," IDB Publications (Working Papers) 8940, Inter-American Development Bank.
  24. Ding Ding & John Nelmes & Roshan Perera & Mr. Volodymyr Tulin, 2014. "Estimating Sri Lanka’s Potential Output," IMF Working Papers 2014/040, International Monetary Fund.
  25. Mr. Luc Eyraud & Mr. Tao Wu, 2015. "Playing by the Rules: Reforming Fiscal Governance in Europe," IMF Working Papers 2015/067, International Monetary Fund.
  26. Ms. Pritha Mitra & Amr Hosny & Gohar Abajyan & Mr. Mark Fischer, 2015. "Estimating Potential Growth in the Middle East and Central Asia," IMF Working Papers 2015/062, International Monetary Fund.
  27. International Monetary Fund, 2012. "Norway: 2011 Article IV Consultation: Staff Report; Public Information Notice on the Executive Board Discussion; and Statement by the Executive Director for Norway," IMF Staff Country Reports 2012/025, International Monetary Fund.
  28. Dan Armeanu & Georgiana Camelia Crețan & Leonard Lache & Mihaela Mitroi, 2015. "Estimating Potential GDP for the Romanian Economy and Assessing the Sustainability of Economic Growth: A Multivariate Filter Approach," Sustainability, MDPI, vol. 7(3), pages 1-21, March.
  29. International Monetary Fund, 2014. "Euro Area Policies: Selected Issues," IMF Staff Country Reports 2014/199, International Monetary Fund.
  30. Mellár, Tamás & Németh, Kristóf, 2018. "A kibocsátási rés becslése többváltozós állapottérmodellekben. Szuperhiszterézis és további empirikus eredmények [Estimating output gap in multivariate state space models. Super-hysteresis and furt," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 557-591.
  31. Fokin, Nikita & Haritonova, Marina, 2020. "Сравнительный Анализ Прогнозных Моделей Российского Ввп В Условиях Наличия Структурных Сдвигов [Comparative analysis of the forecasting models for Russia’s GDP under the structural breaks]," MPRA Paper 103412, University Library of Munich, Germany.
  32. De la Serve, M-E. & Lemoine, M., 2011. "Measuring the NAIRU: a complementary approach," Working papers 342, Banque de France.
  33. Patrick Blagrave & Marika Santoro, 2016. "Estimating Potential Output in Chile: A Multivariate Filter for Mining and Non-Mining Sectors," IMF Working Papers 2016/201, International Monetary Fund.
  34. 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.
  35. Constantinescu, Mihnea & Nguyen, Anh D.M., 2018. "Unemployment or credit: Which one holds the potential? Results for a small open economy with a low degree of financialization," Economic Systems, Elsevier, vol. 42(4), pages 649-664.
  36. Ali Alichi, 2015. "A New Methodology for Estimating the Output Gap in the United States," IMF Working Papers 2015/144, International Monetary Fund.
  37. Mr. Helge Berger & Mr. Thomas Dowling & Mr. Sergi Lanau & Mr. Mico Mrkaic & Mr. Pau Rabanal & Marzie Taheri Sanjani, 2015. "Steady as She Goes—Estimating Potential Output During Financial “Booms and Busts”," IMF Working Papers 2015/233, International Monetary Fund.
  38. Tsasa Vangu, Jean-Paul Kimbambu, 2014. "Diagnostic de la politique monétaire en Rép. Dém. Congo – Approche par l’Equilibre Général Dynamique Stochastique," Dynare Working Papers 38, CEPREMAP.
  39. Michal Andrle, 2013. "What Is in Your Output Gap? Unified Framework & Decomposition into Observables," IMF Working Papers 2013/105, International Monetary Fund.
  40. Ms. Sonali Jain-Chandra & Ms. Longmei Zhang, 2014. "How can Korea Boost Potential Output to Ensure Continued Income Convergence?," IMF Working Papers 2014/054, International Monetary Fund.
  41. Nur Ain Shahrier & Chuah Lay Lian, 2019. "Estimating Malaysia’S Output Gap: Have We Closed The Gap?," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(03), pages 647-674, June.
  42. Miroslav Plašil, 2011. "Potenciální produkt, mezera výstupu a míra nejistoty spojená s jejich určením při použití Hodrick-Prescottova filtru [Potential Product, Output Gap and Uncertainty Rate Associated with Their Determ," Politická ekonomie, Prague University of Economics and Business, vol. 2011(4), pages 490-507.
  43. J. Kemp & B. Smit, 2016. "Estimating and Explaining Changes in Potential Growth in South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 40(3), pages 21-38, December.
  44. Mr. Pau Rabanal & Marzie Taheri Sanjani, 2015. "Financial Factors: Implications for Output Gaps," IMF Working Papers 2015/153, International Monetary Fund.
  45. Punnoose Jacob & Martin Wong, 2018. "Estimating the NAIRU and the Natural Rate of Unemployment for New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2018/04, Reserve Bank of New Zealand.
  46. Correa-López, Mónica & Mingorance-Arnáiz, Ana Cristina, 2012. "Demografía, mercado de trabajo y tecnología: El patrón de crecimiento de Cataluña, 1970-2020/Demography, Labour Market and Technical Progress: The Pattern of Growth in Cataluña, 1970-2020," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 30, pages 365(34)-365, Abril.
  47. International Monetary Fund, 2014. "Russian Federation: Selected Issues," IMF Staff Country Reports 2014/176, International Monetary Fund.
  48. Sariola, Mikko, 2019. "An unobserved components model for Finland – Estimates of potential output and NAWRU," BoF Economics Review 2/2019, Bank of Finland.
  49. Tóth, Máté, 2021. "A multivariate unobserved components model to estimate potential output in the euro area: a production function based approach," Working Paper Series 2523, European Central Bank.
  50. Ali Alichi & Rania A. Al-Mashat & Hayk Avetisyan & Mr. Jaromir Benes & Olivier Bizimana & Aram Butavyan & Mr. Robert Ford & Narek Ghazaryan & Vahagn Grigoryan & Mane Harutyunyan & Anahit Hovhannisyan , 2018. "Estimates of Potential Output and the Neutral Rate for the U.S. Economy," IMF Working Papers 2018/152, International Monetary Fund.
  51. El-Baz, Osama, 2016. "Investigating the Trajectory of Egypt’s Potential Output: Pre and Post the Arab Spring," MPRA Paper 75778, University Library of Munich, Germany, revised 05 Oct 2016.
  52. Silvio Michael de Azevedo Costa, 2016. "Structural Trends and Cycles in a DSGE Model for Brazil," Working Papers Series 434, Central Bank of Brazil, Research Department.
  53. Task Force of the Monetary Policy Committee of the European System of Central Banks, 2012. "Euro area labour markets and the crisis," Occasional Paper Series 138, European Central Bank.
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