A Multivariate Filter for Measuring Potential Output and the NAIRU Application to the Czech Republic

Jaromir Benes and Papa N'Diaye

No 2004/045, IMF Working Papers from International Monetary Fund

Abstract: This paper presents a multivariate (MV) methodology for obtaining measures of excess demand that can facilitate discussion of monetary policy issues and improve policy decisions. Using data for the Czech Republic, a growing economy undergoing major structural change, it shows how the use of more information to condition the paths of potential output and the non accelerating inflation rate of unemployment (NAIRU) improves on univariate methods as the Hodrick-Prescott (HP) filter.

Keywords: WP; excess demand; Phillips Curve; Unemployment; Monetary Policy; Fiscal Policy; HP estimate; HP filter; HP result; production function; transition equation; Potential output; Inflation; Real interest rates; Real exchange rates; Output gap (search for similar items in EconPapers)
Pages: 31
Date: 2004-03-01
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Citations: View citations in EconPapers (45)

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