Estimating Sustainable Output Growth in Emerging Market Economies

Anna Krupkina (), Elena Deryugina and Alexey Ponomarenko
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Anna Krupkina: 1] Bank of Russia, 107016, Neglinnaya 12, Moscow, Russia. E-mails: PonomarenkoAA@cbr.ru; DeryuginaEB@cbr.ru[2] NRU-HSE, Myasnitskaya 20, 101000, Moscow, Russia.

Comparative Economic Studies, 2015, vol. 57, issue 1, 168-182

Abstract: We present a model that incorporates the information contained in diverse variables when estimating sustainable output growth. For this purpose, we specify a state-space model representing a multivariate HP filter that links cyclical fluctuation in GDP with several indicators of macroeconomic imbalances. We obtain the parameterizetion of the model by estimating it over a cross-section of emerging market economies. We show that the trend output growth rates estimated by using this model are more stable than those obtained with a univariate version of the filter and thus are more consistent with the notion of sustainable output.

Date: 2015
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Working Paper: Estimating sustainable output growth in emerging market economies (2014)
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