ON THE SOURCES OF AGGREGATE FLUCTUATIONS IN EMERGING ECONOMIES

• 成果类型: Article
• 署名作者: Chang, Roberto; Fernandez, Andres
• 署名单位: Rutgers University System; Rutgers University New Brunswick; National Bureau of Economic Research; Inter-American Development Bank
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12036
• 发表日期: 2013
• 页码: 1265-1293
• 关键词: real business cycles; news

摘要

Recent research on macroeconomic fluctuations in emerging economies has advocated introducing a stochastic productivity trend or allowing for interest rate shocks and financial frictions. We estimate a model that encompasses these two approaches, shedding light on their relative merits and on how financial frictions affect the transmission of shocks. The model accounts for aggregate fluctuations by assigning a dominant role to financial frictions in amplifying conventional (temporary) productivity shocks, whereas trend shocks play a minor role. A link between spreads and expected future productivity emerges as essential for a reasonable approximation to the data.