Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions
Principal Investigator(s): View help for Principal Investigator(s) Andrés Fernández; Adam Gulan
Version: View help for Version V1
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text/plain | 14.6 KB | 10/12/2019 03:15:PM |
Project Citation:
Fernández, Andrés, and Gulan, Adam. Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114053V1
Project Description
Summary:
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Countercyclical country interest rates have been shown to be an important characteristic of business cycles in emerging markets. In this paper we provide a microfounded rationale for this pattern by linking interest rate spreads to the dynamics of corporate leverage. For this purpose we embed a financial accelerator into a business cycle model of a small open economy and estimate it on a novel panel dataset for emerging economies that merges macroeconomic and financial data. The model accounts well for the empirically observed countercyclicality of interest rates and leverage, as well as for other stylized facts. (JEL E13, E32, E43, E44, F41, O11)
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
F41 Open Economy Macroeconomics
O11 Macroeconomic Analyses of Economic Development
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
F41 Open Economy Macroeconomics
O11 Macroeconomic Analyses of Economic Development
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