Bayesian estimation of the output gap for a small open economy: The case of Canada

Tino Berger and Bernd Kempa

Economics Letters, 2011, vol. 112, issue 1, 107-112

Abstract: We introduce a novel approach for estimating output gaps for small open economies. Identification is based on a multivariate trend-cycle decomposition in which transitory exchange rate movements are linked to the output gap and inflation. The model is then applied to Canadian data.

Keywords: Output; gap; Unobserved; components; Kalman; filter; Bayesian; analysis (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:112:y:2011:i:1:p:107-112

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