Unobservable-Components Estimates of Output Gaps in Five Asian Economies

Stefan Gerlach () and Matthew Yiu

No 3393, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This Paper estimates output gaps for Hong Kong, Korea, the Philippines, Singapore and Taiwan, employing the HP filter and unobservable-components (UC) techniques. The latter approach assumes that actual output is the sum of potential output, which follows a random walk with a time-varying drift, and a stationary output gap. While the results imply that UC methods are useful in estimating output gaps in Asia, simple Phillips curves suggest that the information contents of the two measures of the gap are essentially identical. The main advantage of the UC technique is that it allows the construction of confidence bands for the gap.

Keywords: Output gaps; Unobservable components; Kalman filtering (search for similar items in EconPapers)
JEL-codes: E30 (search for similar items in EconPapers)
Date: 2002-05
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (4)

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Working Paper: Unobservable-Component Estimates of Output Gaps in Five Asian Economies (2002)
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