On the sources of aggregate fluctuations in emerging economies / Roberto Chang, Andrés Fernández.

Chang, Roberto.
Bib ID
vtls001052106
出版項
Cambridge, Mass. : National Bureau of Economic Research, c2010.
稽核項
39, 16 p. : ill. ; 22 cm.
電子版
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條碼 館藏地 索書號 冊次 複本 電子資源 館藏狀態  
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總館1樓罕用
HB 1.N37 n.15938
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$a On the sources of aggregate fluctuations in emerging economies / $c Roberto Chang, Andrés Fernández.
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$a Cambridge, Mass. : $b National Bureau of Economic Research, $c c2010.
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$a 39, 16 p. : $b ill. ; $c 22 cm.
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$a NBER working paper series ; $v no. 15938
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$a "April 2010"
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$a Includes bibliographical references (p. 37-39).
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$a Recent research on macroeconomic fluctuations in emerging economies has focused in two leading approaches: introducing a stochastic productivity trend, in addition to temporary productivity shocks; or allowing for foreign interest rate shocks coupled with financial frictions. This paper compares the two approaches empirically, and also evaluates a model that encompasses them, taking advantage of recent developments in the theory and implementation of Bayesian methods. The encompassing model assigns a significant role to interest rate shocks and financial frictions, but not to trend shocks, in generating and amplifying aggregate fluctuations. Formal model comparison exercises favor models with financial frictions over the stochastic trend model, although this is sensitive to the inclusion of measurement errors. Of the two financial frictions we consider, working capital versus spreads linked to expected future productivity, the latter emerges as key for a reasonable approximation to the data.
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$a Business cycles $z Developing countries $x Econometric models.
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$a Fernández, Andrés.
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$a National Bureau of Economic Research.
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$a Working paper series (National Bureau of Economic Research) ; $v no. 15938.
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叢書名
NBER working paper series ; no. 15938
Working paper series (National Bureau of Economic Research) ; no. 15938.
NBER working paper series ; no. 15938
標題
摘要
Recent research on macroeconomic fluctuations in emerging economies has focused in two leading approaches: introducing a stochastic productivity trend, in addition to temporary productivity shocks; or allowing for foreign interest rate shocks coupled with financial frictions. This paper compares the two approaches empirically, and also evaluates a model that encompasses them, taking advantage of recent developments in the theory and implementation of Bayesian methods. The encompassing model assigns a significant role to interest rate shocks and financial frictions, but not to trend shocks, in generating and amplifying aggregate fluctuations. Formal model comparison exercises favor models with financial frictions over the stochastic trend model, although this is sensitive to the inclusion of measurement errors. Of the two financial frictions we consider, working capital versus spreads linked to expected future productivity, the latter emerges as key for a reasonable approximation to the data.
附註
"April 2010"
Includes bibliographical references (p. 37-39).
合著者