关键词: 产出缺口, 动态模型, 贝叶斯估计, 货币政策

Abstract: This paper constructs a multivariate dynamic model to estimate China output gap over 1985Q1-2008Q2 by using Beveridge-Nelson decomposition and Bayesian Gibbs sampling methods. The paper compares statistical nature and forecasting effects on monetary policy of the output gap based on the multivariate system with those of the output gap measures based on univariate models. The empirical results show that different measures of the output gap differ from each other not only in terms of their statistical properties, but also in terms of their forecasting effects on monetary policy. In particular, only the measure based on the multivariate system manifests significant forecasting effects on monetary policy. This result indicates that the output gap estimated by the multivariate system takes into account dynamic interactions between the output and other relevant variables, contains more information, and hence is more important for macroeconomic policy adjustments.

Key words: Output gap, Dynamic model, Bayesian estimator, Monetary policy