Vietnam: Bayesian Estimation of Output Gap

Wojciech Maliszewski

No 2010/149, IMF Working Papers from International Monetary Fund

Abstract: 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.

Keywords: WP; output gap series; Output Gap; Inflation; Unobservable Component Model; Bayesian Methods; output gap coefficient; output gap equation; output gap estimate; inflation equation; Potential output; Real interest rates; Real exchange rates; Global (search for similar items in EconPapers)
Pages: 25
Date: 2010-06-01
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Citations: View citations in EconPapers (4)

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