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.
- Language
-
Englisch
- Bibliographic citation
-
Series: School of Economics Discussion Papers ; No. 1811
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Open Economy Macroeconomics
International Business Cycles
- Subject
-
Endogenous Volatility
DSGE
Emerging Markets
- Event
-
Geistige Schöpfung
- (who)
-
Dueber, Jan-Philipp
- Event
-
Veröffentlichung
- (who)
-
University of Kent, School of Economics
- (where)
-
Canterbury
- (when)
-
2018
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dueber, Jan-Philipp
- University of Kent, School of Economics
Time of origin
- 2018
Other Objects (12)
Endogenous Housing Market Cycles
Expectation-driven cycles: time-varying effects
Time-Varying Market Integration and Expected Returns in Emerging Markets
Time-varying persistence in the German stock market
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Time-Varying Market Price of Risk in the CAPM
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Housing cycles in Switzerland: A time-varying approach
A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Time-varying crash risk: The role of stock market liquidity
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
Labour market skills, endogenous productivity and business cycles
Endogenous Housing Market Cycles
Expectation-driven cycles: time-varying effects
Time-Varying Market Integration and Expected Returns in Emerging Markets
Time-varying persistence in the German stock market
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Time-Varying Market Price of Risk in the CAPM
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Housing cycles in Switzerland: A time-varying approach
A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Time-varying crash risk: The role of stock market liquidity
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction
Labour market skills, endogenous productivity and business cycles
Endogenous Housing Market Cycles
Expectation-driven cycles: time-varying effects
Time-Varying Market Integration and Expected Returns in Emerging Markets
Time-varying persistence in the German stock market
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Time-Varying Market Price of Risk in the CAPM
Time-Varying Optimal Hedge Ratio for Brent Oil Market
Housing cycles in Switzerland: A time-varying approach
A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Time-varying crash risk: The role of stock market liquidity
Identifying Volatility Signals from Time-Varying Simultaneous Stock Market Interaction