Economics at your fingertips  

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
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Published in Published in Comparative Economic Studies Vol. 57, Issue 1, March 2015, pp. 168–182

Downloads: (external link) (application/pdf)

Related works:
Journal Article: Estimating Sustainable Output Growth in Emerging Market Economies (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this paper

More papers in BOFIT Discussion Papers from Bank of Finland, Institute for Economies in Transition Bank of Finland, BOFIT, P.O. Box 160, FI-00101 Helsinki, Finland. Contact information at EDIRC.
Bibliographic data for series maintained by Minna Nyman ().

Page updated 2021-04-09
Handle: RePEc:bof:bofitp:2014_011