Estimating Sustainable Output Growth in Emerging Market Economies

20 Pages Posted: 24 Apr 2014

See all articles by Anna Krupkina

Anna Krupkina

Bank of Russia

Elena B. Deryugina

Central Bank of Russia

Alexey A. Ponomarenko

Central Bank of Russia

Date Written: April 8, 2014

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

JEL Classification: E32, E44, C33

Suggested Citation

Krupkina, Anna and Deryugina, Elena B. and Ponomarenko, Alexey A., Estimating Sustainable Output Growth in Emerging Market Economies (April 8, 2014). BOFIT Discussion Paper No. 11/2014, Available at SSRN: https://ssrn.com/abstract=2428153 or http://dx.doi.org/10.2139/ssrn.2428153

Anna Krupkina

Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Elena B. Deryugina

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

Alexey A. Ponomarenko (Contact Author)

Central Bank of Russia ( email )

12 Neglinnaya Street
Moscow, 107016
Russia

HOME PAGE: http://http.//www.cbr.ru

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
76
Abstract Views
625
Rank
603,845
PlumX Metrics