Vietnam: Bayesian Estimation of Output Gap
IMF Working Papers, June 1, 2010
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- Vietnam: Bayesian Estimation of Output Gap
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Bibliographic details
- Authors: Wojciech Maliszewski
- Published: June 1, 2010
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781455201327.001
Summary
- The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, treating the output gap as an unobservable series to be estimated together with other parameters.
- Model coefficients are described as easily interpretable.
- The model-based output gap series is reported to be consistent with a broader analysis of economic developments.
- Output gaps obtained from the HP detrending are subject to larger revisions than series obtained from a suitably adjusted model, and may be misleading compared to the model-based measure.
Methodology
- Bayesian estimation applied to a two-equation AS-AD model.
- The output gap is treated as an unobservable component estimated jointly with other model parameters.
Key findings
- Model-based output gap:
- Is consistent with broader economic developments in Vietnam.
- Comes from a specification with easily interpretable coefficients.
- HP-detrended output gap:
- Is subject to larger revisions than the model-based series.
- May be misleading when compared to the model-based measure.
Subjects and keywords
- Subject: Financial services, Foreign exchange, Inflation, Output gap, Potential output, Prices, Production, Real exchange rates, Real interest rates
- Keywords: Bayesian Methods, Global, Inflation, inflation equation, Output Gap, output gap coefficient, output gap equation, output gap estimate, output gap series, Potential output, Real exchange rates, Real interest rates, Unobservable Component Model, WP