Replication data for: Risk Matters: The Real Effects of Volatility Shocks
- Fernández-Villaverde, Jesús
- Guerrón-Quintana, Pablo
- Rubio-Ramírez, Juan F.
- Uribe, Martin
AbstractWe show how changes in the volatility of the real interest rate at which small open emerging economies borrow have an important effect on variables like output, consumption, investment, and hours. We start by documenting the strong evidence of time-varying volatility in the real interest rates faced by four emerging economies: Argentina, Brazil, Ecuador, and Venezuela. We estimate a stochastic volatility process for real interest rates. Then, we feed this process in a standard small open economy business cycle model. We find that an increase in real interest rate volatility triggers a fall in output, consumption, investment, hours, and debt. (JEL E13, E20, E32, E43, F32, F43, 011)
Is supplement to
DOI: 10.1257/aer.101.6.2530 (Text)
Fernández-Villaverde, Jesús, Pablo Guerrón-Quintana, Juan F Rubio-Ramírez, and Martin Uribe. “Risk Matters: The Real Effects of Volatility Shocks.” American Economic Review 101, no. 6 (October 2011): 2530–61. https://doi.org/10.1257/aer.101.6.2530.
- ID: 10.1257/aer.101.6.2530 (DOI)
Update Metadata: 2020-05-18 | Issue Number: 3 | Registration Date: 2019-10-11