Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/212797
Authors: 
Krupkina, Anna
Deryugina, Elena B.
Ponomarenko, Alexey
Year of Publication: 
2014
Series/Report no.: 
BOFIT Discussion Papers 11/2014
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.
Subjects: 
output gap
financial cycle
macroeconomic imbalances
emerging markets
JEL: 
E32
E44
C33
Persistent Identifier of the first edition: 
ISBN: 
978-952-6699-81-3
Document Type: 
Working Paper

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