Regime-switching in emerging market business cycles: Interest rate volatility and sudden stops
| Autor: | Gabriel Tenorio, Ricardo Reyes-Heroles |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Economics and Econometrics
050208 finance High interest media_common.quotation_subject Interest rate volatility 05 social sciences Regime switching Monetary economics Interest rate 0502 economics and business Business cycle Economics External financing 050207 economics Volatility (finance) Emerging markets Finance media_common |
| Zdroj: | Journal of International Money and Finance. 93:81-100 |
| ISSN: | 0261-5606 |
| DOI: | 10.1016/j.jimonfin.2018.12.012 |
| Popis: | We document the presence of discrete regime-switching in emerging market business cycles, particularly in the volatility of interest rates at which countries borrow internationally, using a multi-country regime-switching vector autoregressive model. We study the statistical relationship of such business cycle regimes with episodes of sudden stops. Periods of high volatility tend to be persistent and are associated with high interest rates, the occurrence of sudden stops in external financing, and large declines in economic activity. Most strikingly, we show that regime switches drive the countercyclicality of interest rates in emerging markets documented in previous literature (Neumeyer and Perri, 2005) and that high-volatility regimes forecast sudden stops 6 and 12 months ahead. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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