Estimating sustainable output growth in emerging market economies
Krupkina, Anna; Deryugina, Elena B.; Ponomarenko, Alexey (10.04.2014)
JulkaisusarjaBOFIT Discussion Papers
JulkaisijaBank of Finland
Julkaisun pysyvä osoite onhttps://urn.fi/URN:NBN:fi:bof-201408072023
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.
Published in Comparative Economic Studies Vol. 57, Issue 1, March 2015, pp. 168–182