Conferencia 4 (2013)
Dr. Pablo Guerrón Quintana, Ph.D.
(Federal Reserve Bank of Philadelphia, USA)
Lugar: Instituto de Ciencias Básicas (Centro de Matemática), UCE.
Fecha: Jueves 21 de marzo de 2013.
Horario: 15h00 - 17h00.
Resumen: We show how changes in the volatility of
the real interest rate at which small open emerging economies borrow have
an important effect on variables like output, consumption, investment, and
hours. We start by documenting the strong evidence of time-varying
volatility in the real interest rates faced by four emerging
economies: Argentina, Brazil, Ecuador, and Venezuela. We estimate a
stochastic volatility process for real interest rates. Then, we feed this
process in a standard small open economy business cycle model. We find
that an increase in real interest rate volatility triggers a fall in
output, consumption, investment, hours, and debt.
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