趋势冲击有多重要？债务利率弹性的作用

IF 3.8 1区经济学 Q1 ECONOMICS

Journal of International Economics Pub Date : 2024-08-13 DOI:10.1016/j.jinteco.2024.103990

Yin Germaschewski, Jaroslav Horvath, Loris Rubini

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引用次数: 0

摘要

我们研究了金融摩擦如何影响生产率趋势冲击对宏观经济波动的重要性。利用 17 个小型开放经济体（SOEs）的长期数据，我们比较了以债务弹性利率（DEIR）为特征的国有企业实际商业周期模型的两个变体，债务弹性利率是金融摩擦的衡量指标。第一个变体估计了 DEIR 参数，而第二个变体则将其固定为 0.001，有效地抽象了金融摩擦。平均而言，忽略金融摩擦会使趋势冲击对产出波动的贡献增加一倍。这表明，要正确评估趋势冲击的定量影响，需要合理的 DEIR 值。

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How important are trend shocks? The role of the debt elasticity of interest rate

We study how financial frictions affect the importance of trend productivity shocks for macroeconomic fluctuations. Using long-run data from 17 small open economies (SOEs), we compare two variants of a workhorse SOE real business cycle model featuring a debt-elastic interest rate (DEIR), a measure of financial frictions. The first variant estimates the DEIR parameter, while the second fixes it to 0.001, effectively abstracting from financial frictions. On average, ignoring financial frictions doubles the contribution of trend shocks to output fluctuations. This suggests that a proper assessment of the quantitative effects of trend shocks requires reasonable DEIR values.

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来源期刊

Journal of International Economics ECONOMICS-

CiteScore

5.80

自引率

6.10%

发文量

期刊介绍： The Journal of International Economics is intended to serve as the primary outlet for theoretical and empirical research in all areas of international economics. These include, but are not limited to the following: trade patterns, commercial policy; international institutions; exchange rates; open economy macroeconomics; international finance; international factor mobility. The Journal especially encourages the submission of articles which are empirical in nature, or deal with issues of open economy macroeconomics and international finance. Theoretical work submitted to the Journal should be original in its motivation or modelling structure. Empirical analysis should be based on a theoretical framework, and should be capable of replication.