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Vietnam: Bayesian Estimation of Output Gap
Author:
Wojciech Maliszewski null

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Series:
IMF Working Papers
Volume/Issue:
Volume 2010: Issue 149
Language:
English
Publication Date:
01 Jun 2010
DOI:
https://doi.org/10.5089/9781455201327.001
ISBN:
9781455201327
ISSN:
1018-5941
Pages:
25
Keywords:
WP; output gap series; Output Gap; Inflation; Unobservable Component Model; Bayesian Methods; output gap coefficient; output gap equation; output gap estimate; inflation equation; Potential output; Real interest rates; Real exchange rates; Global
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IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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The paper constructs a new output gap measure for Vietnam by applying Bayesian methods to a two-equation AS-AD model, while treating the output gap as an unobservable series to be estimated together with other parameters. Model coefficients are easily interpretable, and the output gap series is consistent with a broader analysis of economic developments. Output gaps obtained from the HP detrending are subject to larger revisions than series obtained from a suitably adjusted model, and may be misleading compared to the model-based measure.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund