EconPapers    
Economics at your fingertips  
 

International business cycles: Information matters

Eleni Iliopulos, Erica Perego and Thepthida Sopraseuth

No 2018-13, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: We study the international transmission of shocks when agents form expectations under adaptive learning and imperfect information. To this aim we consider a two-country model featuring financial frictions, nominal rigidities, learning and Home information bias (as a source of information imperfection). We show that the more pronounced the Home information bias, the less agents track the international transmission of shocks, as it would otherwise be the case under rational expectations. The model succeeds in matching the low business cycle synchronization of consumption, while generating a positive output co-movement. In doing so, the model takes the theory closer to the data with respect to the output-consumption co-movement anomaly. The model also exhibits departure from the Uncovered Interest rate Parity.

Keywords: financial frictions; interdependent economies; learning; uncovered interest rate parity. (search for similar items in EconPapers)
JEL-codes: D84 E44 E51 F41 F42 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-dge, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://thema.u-cergy.fr/IMG/pdf/2018-13.pdf (application/pdf)

Related works:
Journal Article: International business cycles: Information matters (2021) Downloads
Working Paper: International business cycles: Information matters (2021) Downloads
Working Paper: International Business Cycles: Information Matters (2019) Downloads
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:ema:worpap:2018-13

Access Statistics for this paper

More papers in THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Contact information at EDIRC.
Bibliographic data for series maintained by Stefania Marcassa ( this e-mail address is bad, please contact ).

 
Page updated 2025-03-30
Handle: RePEc:ema:worpap:2018-13