Assessing the ability of output gap estimates to forecast inflation in emerging countries

Nwabisa Florence Ndzama ()
Additional contact information
Nwabisa Florence Ndzama: Corvinus University of Budapest, Budapest, Hungary

Russian Journal of Economics, 2025, vol. 11, issue 2, 144-167

Abstract: We find that, while different models used to estimate the output gap in five major emerging economies show similar trends over time, they lead to different conclusions about how well the output gap can predict inflation. This suggests that the choice of model can significantly impact the conclusions drawn about the relationship between the output gap and inflation. The multivariate Hodrick–Prescott filter and the structural vector autoregressive model produce the smallest forecast errors in most cases among the four output gap models considered. We further find some indications of a better inflation forecasting ability of the output gap in countries with inflation targeting, suggesting that the improved transparency related to inflation targeting might support the inflation forecasting process.

Keywords: Phillips; curve; output; gap; inflation; forecasts; emerging; economies (search for similar items in EconPapers)
JEL-codes: C1 C32 C53 C61 E37 (search for similar items in EconPapers)
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://rujec.org/article/126000/

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arh:jrujec:v:11:y:2025:i:2:p:144-167

DOI: 10.32609/j.ruje.11.126000

Access Statistics for this article

Russian Journal of Economics is currently edited by Alexey Kudrin

More articles in Russian Journal of Economics from ARPHA Platform
Bibliographic data for series maintained by Teodor Georgiev ().