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.

Angaben zum Objekt

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

Verweise und Beziehungen

• Erschienen in: Series: BOFIT Discussion Papers ; No. 11/2014

Klassifikation und Themen

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

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Krupkina, Anna ; Deryugina, Elena B. ; Ponomarenko, Alexey
• Ereignis: Veröffentlichung
• (wer): Bank of Finland, Institute for Economies in Transition (BOFIT)
• (wo): Helsinki
• (wann): 2014

Weitere Informationen

• Handle: http://hdl.handle.net/10419/212797
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ