Vietnam: Bayesian Estimation of Output Gap

ByWojciech Maliszewski

June 1, 2010

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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

The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is 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.

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

Pages:
25
Volume:
2010
DOI:
https://doi.org/10.5089/9781455201327.001
Issue:
149
Series:
Working Paper No. 2010/149
Stock No:
WPIEA2010149
ISBN:
9781455201327
ISSN:
1018-5941

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