Output Gap in Russian Economy: Estimate Based on the IMF’s Multivariate Filter

Artur R. Sharafutdinov – Graduate Student of the Russian Presidential Academy of National Economy and Public Administration; Economist of the Monetary Policy Department, Bank of Russia (Moscow, Russia). Е-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

The article estimates the quarterly dynamics of the output gap using a simple multivariate filter based on data on GDP, inflation and unemployment in accordance with the work of the IMF, taking into account the Phillips curve describing the impact of the output gap on the inflation process, and Okun’s law describing the relationship between the unemployment gap and output gap. The resulting estimate for the first three quarters of 2022 turned out to be 2 p.p. higher than the similar indicator estimated using the univariate statistical Hodrick–Prescott filter, and amounted to -0.4% in Q3 2022, partly due to the negative unemployment gap, -1.1% in Q3 2022, which is a feature of the current restructuring in contrast to the crises of 2008–2009, 2015 and 2020.

The article was prepared within the framework of the scholarship program for graduate students and the implementation of the research work of the state task of RANEPA.

Key words: output gap, unemployment gap, multivariate filter, Okun’s law, Phillips curve, conjuncture.

JEL-codes: E32, C13, C32, C51.