A multivariate filter to estimate potential output and NAIRU for the Maltese economy

Brian Micallef

No WP/05/2014, CBM Working Papers from Central Bank of Malta

Abstract: This paper applies a multivariate filter on a small macroeconomic model to derive estimates of Malta’s potential output growth, the output gap and NAIRU. These unobservable variables are derived from a system that accounts for the interactions between output, core inflation, unemployment and foreign demand, the latter reflecting the structural characteristics of Malta as a small and open economy. The model is estimated using Bayesian inference methods on quarterly data for the period 1999-2013. The estimates from the multivariate filter are compared with those derived from a univariate filter and production function approaches. The economic and financial crisis of 2009 had a negative impact on Malta’s growth potential, although there are tentative signs of a gradual recovery in 2013. On the contrary, the crisis had no permanent impact on NAIRU.

JEL-codes: E32 E62 H20 H50 (search for similar items in EconPapers)
Pages: 39 pgs
New Economics Papers: this item is included in nep-mac
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https://www.centralbankmalta.org/file.aspx?f=1091 First version, 2014 (application/pdf)

Related works:
Journal Article: A Multivariate Filter to Estimate Potential Output and NAIRU for the Maltese Economy (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mlt:wpaper:0514

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