Financial Frictions and Macro‐Economic Fluctuations in Emerging Economies

Ozge Akinci

Journal of Money, Credit and Banking, 2021, vol. 53, issue 6, 1267-1312

Abstract: 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.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1111/jmcb.12814

Related works:
Working Paper: Financial Frictions and Macroeconomic Fluctuations in Emerging Economies (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jmoncb:v:53:y:2021:i:6:p:1267-1312

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().