Risk Matters: The Real Effects of Volatility Shocks: Comment

被引：30

作者：

Born, Benjamin ^{[1
]}

Pfeifer, Johannes ^{[1
]}

机构：

[1] Univ Mannheim, D-68131 Mannheim, Germany

来源：

AMERICAN ECONOMIC REVIEW | 2014年 / 104卷 / 12期

关键词：

SMALL OPEN-ECONOMY; BUSINESS CYCLES; EMERGING COUNTRIES;

D O I：

10.1257/aer.104.12.4231

中图分类号：

F [经济];

学科分类号：

02 ;

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.

引用

页码：4231 / 4239

页数：9

共 16 条

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