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Estimating sustainable output growth in emerging market economies

Anna Krupkina, Elena Deryugina and Alexey Ponomarenko

No 11/2014, BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition

Abstract: In the spirit of Borio et al. (2014) we present a model that incorporates 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 of GDP with several indicators of macroeconomic imbalance. We obtain the parameterization of the model by estimating it over a cross-section of emerging market economies. We show that trend output growth rates estimated 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. Keywords: output gap, financial cycle, macroeconomic imbalances, emerging markets JEL classification: E32, E44, C33.

JEL-codes: E32 E44 C33 (search for similar items in EconPapers)
Date: 2014-04-10
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Published in Published in Comparative Economic Studies Vol. 57, Issue 1, March 2015, pp. 168–182

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