Estimating sustainable output growth in emerging market economies

Arbeitspapier

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.

Object Details

• ISBN: 978-952-6699-81-3
• Language: Englisch

References and Relationships

• Bibliographic citation: Series: BOFIT Discussion Papers ; No. 11/2014

Classification and Topics

• Classification: Wirtschaft ; Business Fluctuations; Cycles ; Financial Markets and the Macroeconomy ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: output gap ; financial cycle ; macroeconomic imbalances ; emerging markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Krupkina, Anna ; Deryugina, Elena B. ; Ponomarenko, Alexey
• Event: Veröffentlichung
• (who): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (where): Helsinki
• (when): 2014

Further information

• Handle: http://hdl.handle.net/10419/212797
• Last update: 10.03.2025, 11:43 AM CET