BOFIT Discussion Papers, Institute for Economies in Transition, Bank of Finland
No 11/2014:
Estimating sustainable output growth in emerging market economies
Anna Krupkina ()
, Elena Deryugina ()
and Alexey Ponomarenko ()
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; (follow links to similar papers)
JEL-Codes: C33; E32; E44; (follow links to similar papers)
20 pages, April 8, 2014
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