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.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 4793
- Klassifikation
-
Wirtschaft
Business Fluctuations; Cycles
Interest Rates: Determination, Term Structure, and Effects
Current Account Adjustment; Short-term Capital Movements
International Business Cycles
- Thema
-
interest rate risk
stochastic volatility
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Born, Benjamin
Pfeifer, Johannes
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Born, Benjamin
- Pfeifer, Johannes
- Center for Economic Studies and ifo Institute (CESifo)
Entstanden
- 2014
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