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https://www.um.edu.mt/library/oar/handle/123456789/33239
Title: | A multivariate filter to estimate potential output and NAIRU for the Maltese economy |
Authors: | Micallef, Brian |
Keywords: | Natural rate of unemployment -- Malta Multivariate analysis Autoregression (Statistics) Stochastic models |
Issue Date: | 2014-12 |
Publisher: | Central Bank of Malta |
Citation: | Micallef, B. (2014). A multivariate filter to estimate potential output and NAIRU for the Maltese economy. Central Bank of Malta WP/05/2014. |
Abstract: | This paper applies a multivariate filter on a small macroeconomic model to derive estimates of Malta‟s potential output growth, the output gap and NAIRU. These unobservable variables are derived from a system that accounts for the interactions between output, core inflation, unemployment and foreign demand, the latter reflecting the structural characteristics of Malta as a small and open economy. The model is estimated using Bayesian inference methods on quarterly data for the period 1999-2013. The estimates from the multivariate filter are compared with those derived from a univariate filter and production function approaches. The economic and financial crisis of 2009 had a negative impact on Malta‟s growth potential, although there are tentative signs of a gradual recovery in 2013. On the contrary, the crisis had no permanent impact on NAIRU. |
URI: | https://www.um.edu.mt/library/oar//handle/123456789/33239 |
Appears in Collections: | 2014 |
Files in This Item:
File | Description | Size | Format | |
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A_multivariate_filter_to_estimate_potential_output_and_NAIRU_for_the_Maltese_economy_2014.pdf | 1.24 MB | Adobe PDF | View/Open |
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