A multivariate filter for measuring potential output and the NAIRU: application to the Czech Republic, Issues 2004-2045
International Monetary Fund, 2004 - Business & Economics - 30 pages
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90-day rate 90-Day Real Interest Actual and Trend appendix application apply the Kalman assumption autoregressive process covariance matrix Czech National Bank Czech Republic deviation discussion of monetary equilibrium level equilibrium real exchange equilibrium value error terms estimates of potential excess demand excluding energy Figure follow a random full sample gap terms growth rate HP estimates HP results improves on univariate inflation to rise information to condition initial values Kalman filter labor market lags Laxton measurement equation measures of excess measures of potential measuring potential output methodology for obtaining monetary policy MV filter NAIRU observation one-year output gap overall CPI PC filter percent per annum Phillips curve production function random walk real exchange rate real interest rate shocks show the results smoothing parameter steady-state summarize the dynamics supply shocks three-year rate Trend Equilibrium Czech trend lines ugap unemployment gap unemployment rate univariate methods updating properties variance covariance xgap ygap