ON THE SOURCES OF AGGREGATE FLUCTUATIONS IN EMERGING ECONOMIES.

• Autores: ROBERTO CHANG, ANDRÉS FERNÁNDEZ
• Localización: International economic review, ISSN-e 1468-2354, Vol. 54, Nº. 4, 2013, págs. 1265-1293
• Idioma: inglés
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• Resumen

  • Recent research on macroeconomic fluctuations in emerging economies has advocated introducing a stochastic productivity trend or allowing for interest rate shocks and financial frictions. We estimate a model that encompasses these two approaches, shedding light on their relative merits and on how financial frictions affect the transmission of shocks. The model accounts for aggregate fluctuations by assigning a dominant role to financial frictions in amplifying conventional (temporary) productivity shocks, whereas trend shocks play a minor role. A link between spreads and expected future productivity emerges as essential for a reasonable approximation to the data.