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

31 Pages Posted: 13 Feb 2006

See all articles by Jaromir Benes

Jaromir Benes

Czech National Bank

Papa N'Diaye

International Monetary Fund (IMF) - Asia and Pacific Department

Date Written: March 2004

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: Phillips Curve, Unemployment, Monetary Policy, Fiscal Policy

JEL Classification: C51, E31, E52

Suggested Citation

Benes, Jaromir and N'Diaye, Papa, A Multivariate Filter for Measuring Potential Output and the NAIRU: Application to the Czech Republic (March 2004). IMF Working Paper No. 04/45, Available at SSRN: https://ssrn.com/abstract=878868

Jaromir Benes (Contact Author)

Czech National Bank ( email )

Na Prikope 28
CZ-11503 Praha 1
Czech Republic

Papa N'Diaye

International Monetary Fund (IMF) - Asia and Pacific Department ( email )

700 19th Street NW
Washington, DC 20431
United States

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