Emerging market fluctuations: the role of interest rates and productivity shocks

Emerging market fluctuations: the role of interest rates and productivity shocks

Business cycles in emerging markets are characterized by high levels of volatility in income, investment, and net exports. Consumption is more volatile than income, and net exports are highly countercyclical (see Aguiar and Gopinath, 2007). Furthermore, the interest rates faced by these economies ar...

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Autores principales: Aguiar, Mark, Gopinath, Gita, 1971-
Formato: Artículo
Lenguaje:eng
Publicado: Banco Central de Chile 2019
Materias:
TASAS DE INTERÉS
CICLOS ECONÓMICOS
Acceso en línea:https://hdl.handle.net/20.500.12580/3739
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spelling oai-20.500.12580-37392021-04-24T11:01:43Z Emerging market fluctuations: the role of interest rates and productivity shocks Aguiar, Mark Gopinath, Gita, 1971- TASAS DE INTERÉS CICLOS ECONÓMICOS Business cycles in emerging markets are characterized by high levels of volatility in income, investment, and net exports. Consumption is more volatile than income, and net exports are highly countercyclical (see Aguiar and Gopinath, 2007). Furthermore, the interest rates faced by these economies are highly volatile and negatively correlated with income, as described in Neumeyer and Perri (2005). In this paper, we adopt a standard stochastic business cycle model of a small open economy and allow the economy to be driven by productivity shocks that have permanent and transitory components, as well as by shocks to the interest rate process. We then estimate the role of the different processes in explaining the business cycle behavior of emerging markets. 2019-11-01T00:04:06Z 2019-11-01T00:04:06Z 2008 Artículo 978-956-7421-30-5 https://hdl.handle.net/20.500.12580/3739 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. 345-367 application/pdf Banco Central de Chile
institution Banco Mundial
collection Banco Mundial
language eng
topic TASAS DE INTERÉS
CICLOS ECONÓMICOS
spellingShingle TASAS DE INTERÉS
CICLOS ECONÓMICOS
Aguiar, Mark
Gopinath, Gita, 1971-
Emerging market fluctuations: the role of interest rates and productivity shocks
description Business cycles in emerging markets are characterized by high levels of volatility in income, investment, and net exports. Consumption is more volatile than income, and net exports are highly countercyclical (see Aguiar and Gopinath, 2007). Furthermore, the interest rates faced by these economies are highly volatile and negatively correlated with income, as described in Neumeyer and Perri (2005). In this paper, we adopt a standard stochastic business cycle model of a small open economy and allow the economy to be driven by productivity shocks that have permanent and transitory components, as well as by shocks to the interest rate process. We then estimate the role of the different processes in explaining the business cycle behavior of emerging markets.
format Artículo
author Aguiar, Mark
Gopinath, Gita, 1971-
author_facet Aguiar, Mark
Gopinath, Gita, 1971-
author_sort Aguiar, Mark
title Emerging market fluctuations: the role of interest rates and productivity shocks
title_short Emerging market fluctuations: the role of interest rates and productivity shocks
title_full Emerging market fluctuations: the role of interest rates and productivity shocks
title_fullStr Emerging market fluctuations: the role of interest rates and productivity shocks
title_full_unstemmed Emerging market fluctuations: the role of interest rates and productivity shocks
title_sort emerging market fluctuations: the role of interest rates and productivity shocks
publisher Banco Central de Chile
publishDate 2019
url https://hdl.handle.net/20.500.12580/3739
work_keys_str_mv AT aguiarmark emergingmarketfluctuationstheroleofinterestratesandproductivityshocks
AT gopinathgita1971 emergingmarketfluctuationstheroleofinterestratesandproductivityshocks
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