- Nir Klein
- Published Date:
- August 2011
Akinboade, O. A.,2005, “Some Estimates of Potential Output and the Output Gap for South Africa,” Journal Studies in Economics and Econometrics, Vol. 29 (1), pp. 15–28.
Arora, V., and A.Bhundia,2003, “Potential Output and Total Factor Productivity Growth in Post-Apartheid South Africa,” IMF Working Paper No. 03/178 (Washington: International Monetary Fund).
Baxter, M., and R. G.King,1995, “Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series,” NBER Working Paper No. 5022 (Cambridge, Massachusetts: National Bureau of Economic Research).
Blanchard, O., and D.Quah,1989, “The Dynamic Effects of Aggregate Supply and Demand Disturbances,” American Economic Review, Vol. 79, pp. 655–73.
Cerra, V., and S.Saxena,2000, “Alternative Methods of Estimating Potential Output and the Output Gap: An Application to Sweden,” IMF Working Paper 00/59 (Washington: International Monetary Fund).
Clarida, R., and J.Galí,1994, “Sources of Real Exchange Rate Fluctuations: How Important are nominal Shocks?” Carnegie-Rochester Conference Series on Public Policy, Vol. 41, pp. 1–56.
De Masi, P.,1997, “IMF Estimates of Potential Output: Theory and Practice,” Staff Studies for the World Economic Outlook (Washington: International Monetary Fund).
Du Plessis, S., B.Smit, and F.Sturzenegger,2007, “Identifying Aggregate Supply and Demand Shocks in South Africa,” CID Working Paper No. 164 (Cambridge, Massachusetts: Center for International Development at Harvard University).
Du Toit, C. B., and E.Moolman,2003, “Estimating Potential Output and Capacity Utilization for the South African Economy,” South African Journal of Economics, Vol. 71 (1), pp. 96–118.
Fuentes, R., F.Gredig., and M.Larrain. 2007. “Estimating the Output Gap for Chile.” Central Bank of Chile Working Paper No. 455.
Magud, N., and L.Medina,2011, “The Chilean Output Gap,” IMF Working Paper 11/02 (Washington: International Monetary Fund).
Menashe, Y., and Y.Yakhin,2004, “Mind the Gap: Structural and Nonstructural Approaches to Estimating Israel’s Output Gap,” Israel Economic Review, Vol. 2 (2), pp. 79–106.
Obsfeld, M.,1985, “Floating Exchange Rates: Experience and Prospects,” Brookings Papers on Economic Activity, Vol. 2, pp. 369–450.
The state space form of the univariate filter can be presented as follows:
In this model, we add a backward-looking Phillips curve as a second signal equation in the system presented previously, which implies that inflation path is affected by past inflation rates as well as current and past output gaps, as follows:
Where πt is the inflation rate and is a white noise process of mean 0 and variance
In this third model, we add the following standard backward-looking IS curve to the second model, such that the system includes three signal equations:
Where rt is the real short-term rate and
The smoothness of
Figure A1.The estimated total factor productivity (in natural logarithm), 1985-2009 Figure A2.The cyclical components of energy production and employment, 1985-2010 Figure A3.South Africa’s output gap by main sectors Figure A4.South Africa: Participation rate and discouraged work-seekers
Source: Quarterly Labor Force Survey, SASTAT.
Figure A5.REER change in selected EMs, 2008Q2-2010Q4
Source: INS database.