Open AccessPosted Content
Emerging market business cycles: the cycle is the trend
Mark Aguiar,Gita Gopinath +1 more
Reads0
Chats0
TLDR
In this article, the authors find that shocks to trend growth rather than transitory fluctuations around a stable trend are the primary source of fluctuations in emerging markets, and the key features of emerging market business cycles are then shown to be consistent with this underlying income process in an otherwise standard equilibrium model.Abstract:
Emerging market business cycles exhibit strongly countercyclical current accounts, consumption volatility that exceeds income volatility, and “sudden stops†in capital inflows. These features contrast with developed small open economies. Nevertheless, we show that a standard model characterizes both types of markets. Motivated by the frequent policy regime switches observed in emerging markets, our premise is that these economies are subject to substantial volatility in trend growth. Our methodology exploits the information in consumption and net exports to identify the persistence of productivity. We find that shocks to trend growth—rather than transitory fluctuations around a stable trend—are the primary source of fluctuations in emerging markets. The key features of emerging market business cycles are then shown to be consistent with this underlying income process in an otherwise standard equilibrium model.read more
Citations
More filters
Journal ArticleDOI
From Financial Crash to Debt Crisis
Carmen Reinhart,Kenneth Rogoff +1 more
TL;DR: In this paper, the authors developed historical time series on public debt, along with data on external debts, allow a deeper analysis of the debt cycles underlying serial debt and banking crises, and they test three related hypotheses at both world aggregate levels and on an individual country basis.
Journal ArticleDOI
Capital Flow Waves: Surges, Stops, Flights and Retranchment
TL;DR: This article analyzed the drivers of international waves in capital flows and found that global factors, especially global risk, are the most important determinants of these episodes, while domestic macroeconomic characteristics are generally less important, although changes in domestic economic growth influence episodes caused by foreigners.
Posted Content
Default risk and income fluctuations in emerging economies
TL;DR: This paper developed a small open economy model to study default risk and its interaction with output, consumption, and foreign debt, which predicts that default incentives and interest rates are higher in recessions, as observed in the data.
Posted Content
Growth dynamics: the myth of economic recovery
TL;DR: In this article, the authors used panel data for a large number of countries and found that economic contractions are not followed by offsetting fast recoveries, and long-term growth is negatively linked to volatility.
Journal ArticleDOI
Risk Matters: The Real Effects of Volatility Shocks
Jesús Fernández-Villaverde,Jesús Fernández-Villaverde,Pablo Guerrón-Quintana,Juan F Rubio-Ramirez,Martín Uribe,Martín Uribe +5 more
TL;DR: In this article, the authors show that changes in the volatility of the real interest rate at which small open emerging economies borrow have a quantitatively important effect on real variables like output, consumption, investment, and hours worked.
References
More filters
Journal ArticleDOI
Large sample properties of generalized method of moments estimators
Journal ArticleDOI
Macroeconomics and reality
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
Book ChapterDOI
Time Series Analysis
TL;DR: This paper provides a concise overview of time series analysis in the time and frequency domains with lots of references for further reading.
Journal ArticleDOI
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle.
TL;DR: In this article, the parameters of an autoregression are viewed as the outcome of a discrete-state Markov process, and an algorithm for drawing such probabilistic inference in the form of a nonlinear iterative filter is presented.
Journal ArticleDOI
Uninsured Idiosyncratic Risk and Aggregate Saving
TL;DR: In this article, the authors present a qualitative and quantitative analysis of the standard growth model modified to include precautionary saving motives and liquidity constraints, and address the impact on the aggregate saving rate, the importance of asset trading to individuals, and the relative inequality of wealth and income distributions.