Creator: Neumeyer, Pablo Andrés and Perri, Fabrizio Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 335 Abstract:
We find that in a sample of emerging economies business cycles are more volatile than in developed ones, real interest rates are countercyclical and lead the cycle, consumption is more volatile than output and net exports are strongly countercyclical. We present a model of a small open economy, where the real interest rate is decomposed in an international rate and a country risk component. Country risk is affected by fundamental shocks but, through the presence of working capital, also amplifies the effects of those shocks. The model generates business cycles consistent with Argentine data. Eliminating country risk lowers Argentine output volatility by 27% while stabilizing international rates lowers it by less than 3%.
关键词: International business cycles, Country risk, Sudden stops, Working capital, and Financial crises 学科: E32 - Business Fluctuations; Cycles, F41 - Open Economy Macroeconomics, and F32 - Current Account Adjustment; Short-term Capital Movements
Creator: Arellano, Cristina, Atkeson, Andrew, and Wright, Mark L. J. Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 515 Abstract:
The recent debt crises in Europe and the U.S. states feature similar sharp increases in spreads on government debt but also show important differences. In Europe, the crisis occurred at high government indebtedness levels and had spillovers to the private sector. In the United States, state government indebtedness was low, and the crisis had no spillovers to the private sector. We show theoretically and empirically that these different debt experiences result from the interplay between differences in the ability of governments to interfere in private external debt contracts and differences in the flexibility of state fiscal institutions.
关键词: Interference with private contracts, Tax flexibility, Sudden stops, and Debt crises 学科: H70 - State and Local Government; Intergovernmental Relations: General, F30 - International Finance: General, and K10 - Basic Areas of Law: General (Constitutional Law)