Bayesian estimation of the output gap for a small open economy: The case of Canada
We introduce a novel approach for estimating output gaps for small open economies. Identification is based on a multivariate trend-cycle decomposition in which transitory exchange rate movements are linked to the output gap and inflation. The model is then applied to Canadian data.
Year of publication: |
2011
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Authors: | Berger, Tino ; Kempa, Bernd |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 112.2011, 1, p. 107-112
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Publisher: |
Elsevier |
Keywords: | Output gap Unobserved components Kalman filter Bayesian analysis |
Saved in:
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