Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/45402 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Working Paper No. 1110
Verlag: 
Koç University-TÜSİAD Economic Research Forum (ERF), Istanbul
Zusammenfassung: 
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.
Schlagwörter: 
emerging markets
business cycles
learning
Kalman filter
JEL: 
F41
E44
D82
Dokumentart: 
Working Paper

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