Estimating sustainable output growth in emerging market economies

Anna Krupkina, Elena B. Deryugina and Alexey Ponomarenko

No 11/2014, BOFIT Discussion Papers from Bank of Finland Institute for Emerging Economies (BOFIT)

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 (search for similar items in EconPapers)
JEL-codes: C33 E32 E44 (search for similar items in EconPapers)
Date: 2014
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Related works:
Journal Article: Estimating Sustainable Output Growth in Emerging Market Economies (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:bofitp:bdp2014_011

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