| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7275 |
| DP7275 The Three Horsemen of Growth: Plague, War and Urbanization in Early Modern Europe | |
| Hans-Joachim Voth; Nico Voigtländer | |
| 发表日期 | 2009-04-19 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow have a quantitatively important effect on real variables like output, consumption, investment, and hours worked. To motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility process for real interest rates using T-bill rates and country spreads and estimate it with the help of the Particle filter and Bayesian methods. Then, we feed the estimated stochastic volatility process for real interest rates in an otherwise standard small open economy business cycle model. We calibrate eight versions of our model to match basic aggregate observations, two versions for each of the four countries in our sample. We find that an increase in real interest rate volatility triggers a fall in output, consumption, investment, and hours worked, and a notable change in the current account of the economy. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge models Small open economy stochastic volatility |
| URL | https://cepr.org/publications/dp7275 |
| 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/536112 |
| 推荐引用方式 GB/T 7714 | Hans-Joachim Voth,Nico Voigtländer. DP7275 The Three Horsemen of Growth: Plague, War and Urbanization in Early Modern Europe. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
