Financial Frictions and Macro-Economic Fluctuations in Emerging Economies

OEZGE AKINCI

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Financial Frictions and Macro-Economic Fluctuations in Emerging Economies

机译：新兴经济体的金融摩擦与宏观经济波动

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The country risk premium predicted by the dynamic real business cycle models in emerging markets is procyclical, whereas it is countercyclical in the data. This paper proposes a model in which a time-varying risk premium emerges endogenously through a variant of the Bernanke-Gertler-Gilchrist financial accelerator mechanism. The estimated model can account for the volatility and the countercyclicality of risk premium as well as for other key business cycle moments. Time-varying uncertainty in firm-specific productivity significantly contributes to delivering a countercyclical default rate and explains more than half of the variances in the trade balance and risk premium.

机译：新兴市场动态真实商业周期模型预测的国家风险溢价是普遍存在的，而这是数据的反周期性。本文提出了一种模型，其中通过伯南克 - 长者 - 吉尔克里斯特金融加速器机制的变种内源地出现了时变风险溢价。估计的模型可以解释风险溢价的波动和反循环性以及其他关键商业周期的瞬间。公司特定生产率的时变不确定性显着促进交付逆行违约率，并解释贸易平衡和风险溢价中的一半以上的差异。

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来源
《Journal of money, credit and banking》 |2021年第6期|1267-1312|共46页
作者
OEZGE AKINCI;
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作者单位

Federal Reserve Bank of New York;

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原文格式 PDF
正文语种 eng
中图分类
关键词
Financial frictions; Country risk premium; International business cycles; Bayesian estimation;

机译：金融摩擦;国家风险溢价;国际商业周期;贝叶斯估计;

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1. Financial Openness, Financial Frictions, and Macroeconomic Fluctuations in Emerging Market Economies [J] . Ma Yong Emerging Markets Finance & Trade . 2016,第1a3期

机译：新兴市场经济体中的金融开放度，金融摩擦和宏观经济波动
2. Search Frictions, Financial Frictions, and Labor Market Fluctuations in Emerging Markets [J] . Altug Sumru, Kabaca Serdar Emerging Markets Finance & Trade . 2017,第1a3期

机译：搜索新兴市场中的摩擦，金融摩擦和劳动力市场波动
3. Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions [J] . Andres Fernandez, Adam Gulan American economic journal . 2015,第3期

机译：新兴经济体的利率，杠杆率和商业周期：金融摩擦的作用
4. Financial contagion: Impact of global financial crisis on exchange rate of emerging economies [C] . Kayani Ghulam Mujtaba, Hui Xiao-feng, Gulzar Saqib International Conference on Management Science Engineering . 2014

机译：金融传染：全球金融危机对新兴经济体汇率的影响
5. The friction between rationales of national ownership, macroeconomic prudence/supervision and financial restructuring in national banking sectors. How global/regional trade agreements have intensified a competitive rivalry among financial firms operating in the global economy based on the differences between domestic regulatory frameworks. [D] . Svihran, Katrina. 1999

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6. Market Structure, Financial Dependence and Industrial Growth: Evidence from the Banking Industry in Emerging Asian Economies [O] . Habib Hussain Khan, Rubi Binit Ahmad, Chan Sok Gee 2011

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7. Search Frictions, Financial Frictions and Labor Market Fluctuations in Emerging Economies [O] . Altug Sumru, Kabaca Serdar, Poyraz Meltem 2011

机译：搜索新兴经济体的摩擦，金融摩擦和劳动力市场波动

Financial Frictions and Macro-Economic Fluctuations in Emerging Economies

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