Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions

• 成果类型: Article
• 署名作者: Fernandez, Andres; Gulan, Adam
• 署名单位: Inter-American Development Bank; Bank of Finland
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20120141
• 发表日期: 2015
• 页码: 153-188
• 关键词: macroeconomic fluctuations; country spreads; monetary-policy; RISK; default

摘要

Countercyclical country interest rates have been shown to be an important characteristic of business cycles in emerging markets. In this paper we provide a microfounded rationale for this pattern by linking interest rate spreads to the dynamics of corporate leverage. For this purpose we embed a financial accelerator into a business cycle model of a small open economy and estimate it on a novel panel dataset for emerging economies that merges macroeconomic and financial data. The model accounts well for the empirically observed countercyclicality of interest rates and leverage, as well as for other stylized facts.