Estimating Sustainable Output Growth in Emerging Market Economies
20 Pages Posted: 24 Apr 2014
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: Suggested Citation
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