Risk Matters: The Real Effects of Volatility Shocks

被引：358

作者：

Fernandez-Villaverde, Jesus ^{[1
]}

Guerron-Quintana, Pablo ^{[2
]}

Rubio-Ramirez, Juan F. ^{[3
,4
]}

Uribe, Martin ^{[5
]}

机构：

[1] Univ Penn, Philadelphia, PA 19004 USA

[2] Fed Reserve Bank Philadelphia, Philadelphia, PA 19106 USA

[3] Duke Univ, Durham, NC 27708 USA

[4] Fed Reserve Bank Atlanta, Atlanta, GA USA

[5] Columbia Univ, New York, NY 10027 USA

来源：

AMERICAN ECONOMIC REVIEW | 2011年 / 101卷 / 06期

关键词：

BUSINESS CYCLES; FISCAL-POLICY; FLUCTUATIONS; INFORMATION; ECONOMIES; MATURITY; DEBT; TIME;

D O I：

10.1257/aer.101.6.2530

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show how changes in the volatility of the real interest rate at which small open emerging economies borrow have an important effect on variables like output, consumption, investment, and hours. We start by documenting the strong evidence of time-varying volatility in the real interest rates faced by four emerging economies: Argentina, Brazil, Ecuador, and Venezuela. We estimate a stochastic volatility process for real interest rates. Then, we feed this process in a standard small open economy business cycle model. We find that an increase in real interest rate volatility triggers a fall in output, consumption, investment, hours, and debt. (JEL E13, E20, E32, E43, F32, F43, 011)

引用

页码：2530 / 2561

页数：32

共 35 条

[1] Emerging market business cycles: The cycle is the trend [J].