Parameter drifts, misspecification and the real exchange rate in emerging countries

• 成果类型: Article
• 署名作者: Seoane, Hernan D.
• 署名单位: Universidad Carlos III de Madrid
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2015.09.006
• 发表日期: 2016
• 页码: 204-215
• 关键词: Emerging economies; Real business cycle; parameter drift; Real exchange rate

摘要

This paper reviews the baseline framework for the analysis of emerging economies. Using Argentinean data, I estimate a small open economy model with stochastic trend, working capital constraint and augmented with time-varying parameters. I find that structural technological and financial parameters of one-sector model are time-varying during 1936-2006. Time-varying parameters correlate with the real exchange rate, suggesting potential misspecification of the one-sector model. Therefore, I propose a two-sector model that endogenously accounts for the real exchange rate. In this model, stationary productivity shocks and the country premium together explain a large share of the variability observed in the data. (C) 2015 Elsevier B.V. All rights reserved.