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A novel robust filter estimates macroeconomic indicators without requiring full model stability. Applied to Hungarian potential GDP, it reveals procyclical economic policy and a persistent positive GDP gap post-2012, including during the COVID-19 crisis.

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Area of Science:

  • Econometrics
  • Macroeconomic modeling
  • Time series analysis

Background:

  • Estimating unobservable macroeconomic indicators is crucial for economic policy.
  • Traditional methods like the Kalman filter rely on strict assumptions that may not hold in real-world economies.
  • The Hungarian economy's potential GDP estimation requires robust methods capable of handling complex dynamics and uncertainties.

Purpose of the Study:

  • To introduce a novel robust filter method for estimating non-observable macroeconomic indicators.
  • To apply this new method for estimating the Hungarian potential Gross Domestic Product (GDP) between 2000 and 2021.
  • To address limitations of existing filters by relaxing dynamic model stability requirements and accommodating general quadratic constraints.

Main Methods:

  • Development of a theoretically new robust filter method.
  • Relaxation of dynamic model stability to a partial condition.
  • Inclusion of time-dependent uncertainties and nonlinearities satisfying general quadratic constraints.
  • Application of the filter to estimate Hungarian potential GDP using uni-, bi-, and trivariate models.

Main Results:

  • The proposed robust filter method was successfully applied to estimate Hungarian potential GDP from 2000-2021.
  • Consistent estimations were obtained across uni-, bi-, and trivariate models.
  • The analysis indicated that Hungarian economic policy was notably procyclical after 2012.
  • A positive GDP gap was observed during and after the COVID-19 crisis.

Conclusions:

  • The novel robust filter offers a more flexible and less assumption-dependent alternative to traditional filters for macroeconomic indicator estimation.
  • The estimation of Hungarian potential GDP highlights significant policy implications, particularly regarding procyclicality and the economic impact of recent crises.
  • The findings provide timely insights into the Hungarian economy's performance during critical global events.