Emerging market business cycles: Learning about the trend
成果类型：
Article
署名作者：
Boz, Emine; Daude, Christian; Durdu, C. Bora
署名单位：
Federal Reserve System - USA; Federal Reserve System Board of Governors; International Monetary Fund
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2011.11.003
发表日期：
2011
页码：
616-631
关键词：
摘要：
Emerging market business cycles feature a higher variability of consumption relative to output and a strongly countercyclical trade balance. An equilibrium business cycle model in which agents learn to distinguish between the permanent and transitory components of total factor productivity shocks using the Kalman filter accounts for these features. Calibrated to Mexico, the model accounts for the behavior of consumption and the trade balance for a wide range of variability and persistence of permanent shocks relative to transitory shocks. Estimation for Mexico and Canada suggests more severe informational frictions in emerging markets than in developed economies. Published by Elsevier B.V.
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