Risk Matters: The Real Effects of Volatility Shocks: Comment

• 成果类型: Article
• 署名作者: Born, Benjamin; Pfeifer, Johannes
• 署名单位: University of Mannheim
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.12.4231
• 发表日期: 2014
• 页码: 4231-4239
• 关键词: small open-economy; business cycles; emerging countries

摘要

We show that the risk-shock business cycle model of Fernandez-Villaverde et al. (2011) must be recalibrated because it underpredicts the targeted business cycle moments by a factor of three once a time aggregation error is corrected. Recalibrating the corrected model for the benchmark case of Argentina, the peak response and the contribution of interest rate risk shocks to business cycle volatility increase. However, the recalibrated model does worse in capturing the business cycle properties of net exports once an additional error in the computation of net exports is corrected.