Country spreads and emerging countries: Who drives whom?

被引:368
|
作者
Uribe, M [1 ]
Yue, VZ
机构
[1] Duke Univ, Dept Econ, Durham, NC 27708 USA
[2] NBER, Cambridge, MA 02138 USA
[3] NYU, Dept Econ, New York, NY 10003 USA
关键词
country risk premium; business cycles; small open economy;
D O I
10.1016/j.jinteco.2005.04.003
中图分类号
F [经济];
学科分类号
02 ;
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.
引用
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页码:6 / 36
页数:31
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