Financial frictions and business cycles in middle-income countries

Financial frictions and business cycles in middle-income countries

Empirical analysis reveals three regularities among middleincome countries: consumption is highly procyclical and more volatile than output, investment is highly procyclical and three to four times as volatile as output, and real net exports are countercyclical and about three times as volatile as o...

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Autor principal: Guajardo M., Jaime
Formato: Artículo
Lenguaje:eng
Publicado: Banco Central de Chile 2019
Materias:
CICLOS ECONÓMICOS
MODELOS ESTOCÁSTICOS
Acceso en línea:https://hdl.handle.net/20.500.12580/3738
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spelling oai-20.500.12580-37382021-04-24T11:01:37Z Financial frictions and business cycles in middle-income countries Guajardo M., Jaime CICLOS ECONÓMICOS MODELOS ESTOCÁSTICOS Empirical analysis reveals three regularities among middleincome countries: consumption is highly procyclical and more volatile than output, investment is highly procyclical and three to four times as volatile as output, and real net exports are countercyclical and about three times as volatile as output. Standard dynamic stochastic general equilibrium (DSGE) small open economy models have failed to match these regularities, as they predict excessive consumption smoothing, low procyclicality and volatility of investment, and procyclical real net exports. Some studies tackle these problems by increasing the persistence of shocks (Aguiar and Gopinath, 2004 and in this volume) or by lowering the intertemporal elasticity of substitution, as when using the preferences introduced by Greenwood, Hercowitz, and Hoffman (1988) (Mendoza, 1995, 2001, Neumeyer and Perri, 2005). 2019-11-01T00:03:58Z 2019-11-01T00:03:58Z 2008 Artículo 978-956-7421-30-5 https://hdl.handle.net/20.500.12580/3738 eng Series on Central Banking, Analysis, and Economic Policies, no. 12 Attribution-NonCommercial-NoDerivs 3.0 Chile http://creativecommons.org/licenses/by-nc-nd/3.0/cl/ .pdf Sección o Parte de un Documento p. 279-344 application/pdf Banco Central de Chile
institution Banco Central
collection Banco Central
language eng
topic CICLOS ECONÓMICOS
MODELOS ESTOCÁSTICOS
spellingShingle CICLOS ECONÓMICOS
MODELOS ESTOCÁSTICOS
Guajardo M., Jaime
Financial frictions and business cycles in middle-income countries
description Empirical analysis reveals three regularities among middleincome countries: consumption is highly procyclical and more volatile than output, investment is highly procyclical and three to four times as volatile as output, and real net exports are countercyclical and about three times as volatile as output. Standard dynamic stochastic general equilibrium (DSGE) small open economy models have failed to match these regularities, as they predict excessive consumption smoothing, low procyclicality and volatility of investment, and procyclical real net exports. Some studies tackle these problems by increasing the persistence of shocks (Aguiar and Gopinath, 2004 and in this volume) or by lowering the intertemporal elasticity of substitution, as when using the preferences introduced by Greenwood, Hercowitz, and Hoffman (1988) (Mendoza, 1995, 2001, Neumeyer and Perri, 2005).
format Artículo
author Guajardo M., Jaime
author_facet Guajardo M., Jaime
author_sort Guajardo M., Jaime
title Financial frictions and business cycles in middle-income countries
title_short Financial frictions and business cycles in middle-income countries
title_full Financial frictions and business cycles in middle-income countries
title_fullStr Financial frictions and business cycles in middle-income countries
title_full_unstemmed Financial frictions and business cycles in middle-income countries
title_sort financial frictions and business cycles in middle-income countries
publisher Banco Central de Chile
publishDate 2019
url https://hdl.handle.net/20.500.12580/3738
work_keys_str_mv AT guajardomjaime financialfrictionsandbusinesscyclesinmiddleincomecountries
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