Country spreads and emerging countries: Who drives whom?

• 成果类型: Article; Proceedings Paper
• 署名作者: Uribe, M; Yue, VZ
• 署名单位: Duke University; National Bureau of Economic Research; New York University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2005.04.003
• 发表日期: 2006
• 页码: 6-36
• 关键词: country risk premium; business cycles; Small open economy

摘要

This paper attempts to disentangle the intricate relation linking the world interest rate, country spreads, and emerging-market fundamentals. It does so by using a methodology that combines empirical and theoretical elements. The main findings are: (1) US interest rate shocks explain about 20% of movements in aggregate activity in emerging economies. (2) Country spread shocks explain about 12% of business cycles in emerging economies. (3) In response to an increase in US interest rates, country spreads first fall and then display a large, delayed overshooting; (4) US-interest-rate shocks affect domestic variables mostly through their effects on country spreads; (5) The feedback from emerging-market fundamentals to country spreads significantly exacerbates business-cycle fluctuations. (c) 2005 Elsevier B.V. All rights reserved.