Multivariate Filter for Estimating Potential Output and Output Gap in Turkey

Selen Andic

Working Papers from Research and Monetary Policy Department, Central Bank of the Republic of Turkey

Abstract: This paper estimates the potential output and output gap in Turkey using a multivariate filter. The filter employed links the output gap to slack in the labor market and changes in inflation. Additionally, it produces the output gap taking into account some macroeconomic variables. Though end-of-sample problem remains an issue, results show that the output gap estimates provided by the multivariate filter have a stronger relationship with inflation and are subject to smaller revisions compared to the Hodrick-Prescott filter.

Keywords: Filter; Potential growth; Output gap; Turkey (search for similar items in EconPapers)
JEL-codes: C51 E32 O40 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ara, nep-cwa, nep-lab and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:tcb:wpaper:1807

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