2017•Studies on Russian Economic DevelopmentRequires access

The analysis of the dynamics of the Russian economy using the output gap indicator

Andrey Zubarev, Павел Трунин

Abstract

In this paper we estimate the indicator output gap for the Russian economy in 2000–2015 using univariate and multivariate versions of the Hodrick–Prescott filter and the Kalman filter for the model of unobserved components (taking into account the Phillips curve). The calculation results show a slowdown of potential output after 2014.

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Available abstract

Key concepts: Hodrick–Prescott filter, Output gap, Univariate, Economics, Slowdown, Econometrics, Kalman filter, Multivariate statistics