Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189922
Authors: 
Dueber, Jan-Philipp
Year of Publication: 
2018
Series/Report no.: 
School of Economics Discussion Papers 1811
Abstract: 
Time-varying volatility plays a crucial role in understanding business cycles in emerging market economies. However, the literature treats volatility as an exogenous process. This paper endogenizes time-varying volatility in the debt premium and total factor productivity into a standard small open economy model and assesses the quality of the model by comparing it to emerging market data. An additional volatility channel that operates through the debt premium on the interest rate faced by a small open economy can generate countercyclical net exports and excess volatility in consumption as observed in data on emerging market business cycles.
Subjects: 
Endogenous Volatility
DSGE
Emerging Markets
JEL: 
E32
F41
F44
Document Type: 
Working Paper
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