Real Business Cycles in Emerging Countries?

Author:

García-Cicco Javier1,Pancrazi Roberto2,Uribe Martín3

Affiliation:

1. Macroeconomic Analysis, Central Bank of Chile, Agustinas 1180, Santiago, Chile 8340454.

2. Economics Department, Duke University, 213 Social Science Building, Durham, NC 27708.

3. Department of Economics, Columbia University, International Affairs Building, New York, NY 10027 and National Bureau of Economic Research.

Abstract

We use more than a century of Argentine and Mexican data to estimate the structural parameters of a small-open-economy real-business-cycle model driven by nonstationary productivity shocks. We find that the RBC model does a poor job of explaining business cycles in emerging countries. We then estimate an augmented model that incorporates shocks to the country premium and financial frictions. We find that the estimated financial-friction model provides a remarkably good account of business cycles in emerging markets and, importantly, assigns a negligible role to nonstationary productivity shocks. (JEL E13, E32, E44, F43, O11, O16)

Publisher

American Economic Association

Subject

Economics and Econometrics

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