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http://hdl.handle.net/10419/45402
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| Title: | | Emerging market business cycles revisited: learning about the trend  |
| Authors: | | Boz, Emine Daude, Christian Durdu, C. Bora |
| Issue Date: | | 2011 |
| Series/Report no.: | | TÜSİAD-Koç University Economic Research Forum working paper series 1110 |
| Abstract: | | We build an equilibrium business cycle model in which agents cannot perfectly distinguish between the permanent and transitory components of TFP shocks and learn about those components using the Kalman filter. Calibrated to Mexico, the model predicts a higher variability of consumption relative to output and a strongly negative correlation between the trade balance and output for a wide range of variability and persistence of permanent shocks vis-a-vis the transitory shocks. Moreover, our estimation for Mexico and Canada suggests more severe informational frictions in emerging markets than in developed economies. |
| Subjects: | | emerging markets business cycles learning Kalman filter |
| JEL: | | F41 E44 D82 |
| Document Type: | | Working Paper |
| Appears in Collections: | | ERF Working Paper Series, TÜSİAD-Koç University Economic Research Forum (ERF)
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