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dc.identifier.citationMicallef, B. (2014). A multivariate filter to estimate potential output and NAIRU for the Maltese economy. Central Bank of Malta WP/05/2014.en_GB
dc.description.abstractThis 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.en_GB
dc.publisherCentral Bank of Maltaen_GB
dc.subjectNatural rate of unemployment -- Maltaen_GB
dc.subjectMultivariate analysisen_GB
dc.subjectAutoregression (Statistics)en_GB
dc.subjectStochastic modelsen_GB
dc.titleA multivariate filter to estimate potential output and NAIRU for the Maltese economyen_GB
dc.rights.holderThe copyright of this work belongs to the author(s)/publisher. The rights of this work are as defined by the appropriate Copyright Legislation or as modified by any successive legislation. Users may access this work and can make use of the information contained in accordance with the Copyright Legislation provided that the author must be properly acknowledged. Further distribution or reproduction in any format is prohibited without the prior permission of the copyright holder.en_GB
dc.contributor.creatorMicallef, Brian-
Appears in Collections:2014

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