Arbeitspapier

Endogenous time-varying volatility and emerging market business cycles

Time-varying volatility plays a crucial role in understanding business cycles in emerging market economies. However, the literature treats volatility as an exogenous process. This paper endogenizes time-varying volatility in the debt premium and total factor productivity into a standard small open economy model and assesses the quality of the model by comparing it to emerging market data. An additional volatility channel that operates through the debt premium on the interest rate faced by a small open economy can generate countercyclical net exports and excess volatility in consumption as observed in data on emerging market business cycles.

Sprache
Englisch

Erschienen in
Series: School of Economics Discussion Papers ; No. 1811

Klassifikation
Wirtschaft
Business Fluctuations; Cycles
Open Economy Macroeconomics
International Business Cycles
Thema
Endogenous Volatility
DSGE
Emerging Markets

Ereignis
Geistige Schöpfung
(wer)
Dueber, Jan-Philipp
Ereignis
Veröffentlichung
(wer)
University of Kent, School of Economics
(wo)
Canterbury
(wann)
2018

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Dueber, Jan-Philipp
  • University of Kent, School of Economics

Entstanden

  • 2018

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