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Endogenous Time-Varying Volatility and Emerging Market Business Cycles

Dueber, Jan-Philipp (2018) Endogenous Time-Varying Volatility and Emerging Market Business Cycles. Discussion paper. University of Kent (KAR id:74442)

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Language: English


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Abstract

Time-varying volatility plays a crucial role in understanding business cycles in emerging market economies. However, the literature treats volatility as an exogenous process. This paper endogenizes time-varying volatility in the debt premium and total factor productivity into a standard small open economy model and assesses the quality of the model by comparing it to emerging market data. An additional volatility channel that operates through the debt premium on the interest rate faced by a small open economy can generate countercyclical net exports and excess volatility in consumption as observed in data on emerging market business cycles.

Item Type: Monograph (Discussion paper)
Additional information: School of Economics Discussion Papers 1811
Uncontrolled keywords: Endogenous Volatility, DSGE, Emerging Markets
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculties > Social Sciences > School of Economics
Depositing User: J. Dueber
Date Deposited: 17 Jun 2019 23:44 UTC
Last Modified: 20 Jan 2020 13:51 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/74442 (The current URI for this page, for reference purposes)
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