Output Gap Estimation for Inflation Forecasting: The Case of the Philippines

Bagsic, Cristeta and Paul, McNelis (2007): Output Gap Estimation for Inflation Forecasting: The Case of the Philippines. Published in: BSP Working Paper Series No. 2007-01 (August 2007): pp. 1-32.

Abstract

This paper examines alternative estimation models for obtaining output gap measures for the Philippines. These measures are combined with the rates of growth of broad money, nominal wages and oil prices for forecasting inflation. We find that models which combine these leading indicators in a nonlinear way out-perform other linear combinations of these variables for out-of-sample forecasting performance.

• Item Type: MPRA Paper
• Language: English
• Keywords: forecasting, output gaps, principal components
• Subjects: E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance; F - International Economics > F4 - Macroeconomic Aspects of International Trade and Finance > F47 - Forecasting and Simulation: Models and Applications

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