Jahan-Parvar, Mohammad R.
[VerfasserIn]
;
Liu, Xuan
[Sonstige Person, Familie und Körperschaft];
Rothman, Philip
[Sonstige Person, Familie und Körperschaft]
Equity Returns and Business Cycles in Small Open Economies
Anmerkungen:
In: Journal of Money, Credit, and Banking, 45(6), 1117-1146. DOI: 10.1111/jmcb.12046
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2012 erstellt
Beschreibung:
This is the first paper in the DSGE literature to match key business cycle moments and long-run equity returns in a small open economy with production. These results are achieved by introducing four modifications to a standard real business cycle model: (1) borrowing and lending costs are imposed to increase the volatility of the marginal rate of substitution over time; (2) capital adjustment costs are assumed to make equity returns more volatile; (3) GHH preferences are employed to smooth consumption and (4) a working capital constraint to generate countercyclical trade balances. Our results are based on data from Argentina, Brazil, and Chile