Arbeitspapier
Risk Matters: A Comment
Jesús Fernández-Villaverde, Pablo A. Guerrón-Quintana, Juan F. Rubio-Ramírez and Martín Uribe (2011) find that risk shocks are an important factor in explaining emerging market business cycles. We show that their model needs to be recalibrated because it underpredicts the targeted business cycle moments by a factor of three once a time aggregation error is corrected. Recalibrating the corrected model for the benchmark case of Argentina, the peak response of output after an interest rate risk shock increases by 63 percent and the contribution of interest rate risk shocks to business cycle volatility more than doubles. Hence, risk matters more in the recalibrated model. However, the recalibrated model does worse in capturing the business cycle properties of net exports once an additional error in the computation of net exports is corrected.
- Language
-
Englisch
- Bibliographic citation
-
Series: CESifo Working Paper ; No. 4793
- Classification
-
Wirtschaft
Business Fluctuations; Cycles
Interest Rates: Determination, Term Structure, and Effects
Current Account Adjustment; Short-term Capital Movements
International Business Cycles
- Subject
-
interest rate risk
stochastic volatility
- Event
-
Geistige Schöpfung
- (who)
-
Born, Benjamin
Pfeifer, Johannes
- Event
-
Veröffentlichung
- (who)
-
Center for Economic Studies and ifo Institute (CESifo)
- (where)
-
Munich
- (when)
-
2014
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
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
- Born, Benjamin
- Pfeifer, Johannes
- Center for Economic Studies and ifo Institute (CESifo)
Time of origin
- 2014
Other Objects (12)
Risk Matters: Breaking Certainty Equivalence
Risk taking in diverse groups: Gender matters
Hedging Price Risk When Real Wealth Matters
On the Stability of Risk Preferences: Measurement Matters
On the Stability of Risk Preferences: Measurement Matters
Risk preferences are not time preferences: Comment
Why uncertainty matters: Discounting under intertemporal risk aversion and ambiguity
Risk-taking and Solvency Regulation in Banking - A Comment
Scale matters: Risk perception, return expectations, and investment propensity under different scaling
Experts in experiments: How selection matters for estimated distributions of risk preferences
Writing Matters
Size matters! How position sizing determines risk and return of technical timing strategies
Risk Matters: Breaking Certainty Equivalence
Risk taking in diverse groups: Gender matters
Hedging Price Risk When Real Wealth Matters
On the Stability of Risk Preferences: Measurement Matters
On the Stability of Risk Preferences: Measurement Matters
Risk preferences are not time preferences: Comment
Why uncertainty matters: Discounting under intertemporal risk aversion and ambiguity
Risk-taking and Solvency Regulation in Banking - A Comment
Scale matters: Risk perception, return expectations, and investment propensity under different scaling
Experts in experiments: How selection matters for estimated distributions of risk preferences
Writing Matters
Size matters! How position sizing determines risk and return of technical timing strategies
Risk Matters: Breaking Certainty Equivalence
Risk taking in diverse groups: Gender matters
Hedging Price Risk When Real Wealth Matters
On the Stability of Risk Preferences: Measurement Matters
On the Stability of Risk Preferences: Measurement Matters
Risk preferences are not time preferences: Comment
Why uncertainty matters: Discounting under intertemporal risk aversion and ambiguity
Risk-taking and Solvency Regulation in Banking - A Comment
Scale matters: Risk perception, return expectations, and investment propensity under different scaling
Experts in experiments: How selection matters for estimated distributions of risk preferences
Writing Matters