| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4467 |
| DP4467 International Portfolio Holdings and Swiss Franc Asset Returns | |
| Peter Kugler; Beatrice Weder di Mauro | |
| 发表日期 | 2004-07-23 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy, where the real interest rate is decomposed in an international rate and a country risk component. Country risk is affected by fundamental shocks but, through the presence of working capital, also amplifies the effects of those shocks. The model generates business cycles consistent with Argentine data. Eliminating country risk lowers Argentine output volatility by 27% while stabilizing international rates lowers it by less than 3%. |
| 主题 | International Macroeconomics |
| 关键词 | Country risk Financial crises International business cycles Sudden stops Working capital |
| URL | https://cepr.org/publications/dp4467 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533415 |
| 推荐引用方式 GB/T 7714 | Peter Kugler,Beatrice Weder di Mauro. DP4467 International Portfolio Holdings and Swiss Franc Asset Returns. 2004. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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