Estimating Potential Output with a Multivariate Filter

December 1, 2010

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper develops a simple model for measuring potential output that uses data on inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in addition to the United States and the euro area. While there is a substantial amount of uncertainty around our estimates, we find that the financial crisis has resulted in a reduction in potential output.

Subject: Capacity utilization, Inflation, Output gap, Potential output, Prices, Production, Production growth

Keywords: A. estimation technique, A. output gap, Capacity utilization, core inflation, Cyclical Government Deficits, D. output gap equation, equilibrium unemployment, Fiscal Policy, Government Debt, Inflation, Monetary Policy, MV filter estimate, Output Gap, output gap change, Potential Output, Production growth, Structural Government Deficits, Unemployment, WP

Pages:
37
Volume:
2010
DOI:
https://doi.org/10.5089/9781455210923.001
Issue:
285
Series:
Working Paper No. 2010/285
Stock No:
WPIEA2010285
ISBN:
9781455210923
ISSN:
1018-5941

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