A Simple Multivariate Filter for Estimating Potential Output

By Patrick Blagrave, Roberto Garcia-Saltos, Douglas Laxton, Fan Zhang

April 7, 2015

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Format: Chicago

Patrick Blagrave, Roberto Garcia-Saltos, Douglas Laxton, and Fan Zhang. A Simple Multivariate Filter for Estimating Potential Output, (USA: International Monetary Fund, 2015) accessed September 19, 2024

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

Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.

Subject: Inflation, Labor, Output gap, Potential output, Prices, Production, Production growth, Unemployment

Keywords: Estimates of the output gap, Global, Inflation, Inflation expectation, Macroeconomic Modeling, Output gap, Output gap decomposition, Output gap to inflation, Output tradeoff sense, Output-gap estimate, Potential Output, Production function, Production growth, Unemployment, WP

Publication Details

Pages:

30
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2015/079
Stock No:

WPIEA2015079
ISBN:

9781475565133
ISSN:

1018-5941

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