A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

Author/Editor:

Jaromir Benes ; Papa M N'Diaye

Publication Date:

March 1, 2004

Electronic Access:

Free Download. Use the free Adobe Acrobat Reader to view this PDF file

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 presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more information to condition the paths of potential output and the non accelerating inflation rate of unemployment (NAIRU) improves on univariate methods as the Hodrick-Prescott (HP) filter.

Series:

Working Paper No. 2004/045

Subject:

Financial services Foreign exchange Inflation Output gap Potential output Prices Production Real exchange rates Real interest rates

English

Publication Date:

March 1, 2004

ISBN/ISSN:

9781451846508/1018-5941

Stock No:

WPIEA0452004

Pages:

31

Please address any questions about this title to publications@imf.org