Multivariate Filter for Estimating Potential Output and Output Gap in Turkey

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Title:

Multivariate Filter for Estimating Potential Output and Output Gap in Turkey

Number:

18/07

Author(s):

Selen  Andıç

Language:

English

Date:

February 2018

Abstract:

This paper estimates the potential output and output gap in Turkey using a multivariate filter. The filter employed links the output gap to slack in the labor market and changes in inflation. Additionally, it produces the output gap taking into account some macroeconomic variables. Though end-of-sample problem remains an issue, results show that the output gap estimates provided by the multivariate filter have a stronger relationship with inflation and are subject to smaller revisions compared to the Hodrick-Prescott filter.

Keywords:

Filter, Potential growth, Output gap, Turkey

JEL Codes:

C51; E32; O40

Multivariate Filter for Estimating Potential Output and Output Gap in Turkey