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

Author: Mr. Jaromir Benes and Mr. Papa M N'Diaye

Volume/Issue: Volume 2004 Issue 045

Publication date: March 2004

ISBN: 9781451846508

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Topics covered in this book

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Business and Economics , Banks and Banking , Inflation , 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

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Summary

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.