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Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions

Version
1
Resource Type
Dataset
Creator
  • Fernández, Andrés
  • Gulan, Adam
Publication Date
2014-12-30
Description
  • Abstract

    Countercyclical country interest rates have been shown to be an important characteristic of business cycles in emerging markets. In this paper we provide a microfounded rationale for this pattern by linking interest rate spreads to the dynamics of corporate leverage. For this purpose we embed a financial accelerator into a business cycle model of a small open economy and estimate it on a novel panel dataset for emerging economies that merges macroeconomic and financial data. The model accounts well for the empirically observed countercyclicality of interest rates and leverage, as well as for other stylized facts. (JEL E13, E32, E43, E44, F41, O11)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20120141 (Text)
Publications
  • Fernández, Andrés, and Adam Gulan. “Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions.” American Economic Journal: Macroeconomics 7, no. 3 (July 2015): 153–88. https://doi.org/10.1257/mac.20120141.
    • ID: 10.1257/mac.20120141 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Fernández, Andrés; Gulan, Adam (2014): Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114053V1