PL EN


Preferencje help
Widoczny [Schowaj] Abstrakt
Liczba wyników
2018 | nr 35 | 33
Tytuł artykułu

The non-linear nature of country risk and its implications for DSGE models

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
Country risk premia can substantially affect macroeconomic dynamics. We concentrate on one of their most important determinants - a country's net foreign asset position and - in contrast to the existing research - investigate its nonlinear link to risk premia. The importance of this particular non-linearity is twofold. First, it allows to identify the NFA level above which the elasticity becomes much (possibly dangerously) higher. Second, such a non-linear relationship is a standard ingredient of DSGE models, but its proper calibration/ estimation is missing. Our estimation shows that indeed the link is highly nonlinear and helps to identify the NFA position where the non-linearity kicks in at approximately -70% to -75% of GDP. We also provide a proper calibration of the risk premium - NFA relationship which can be used in DSGE models and demonstrate that its slope matters significantly for economic dynamics in such a model. (original abstract)
Rocznik
Numer
Strony
33
Opis fizyczny
Twórcy
  • Warsaw School of Economics, Poland
Bibliografia
  • Adolfson Malin, Stefan Laseen, Jesper Linde, Mattias Villani (2007) Bayesian estimation of an open economy DSGE model with incomplete pass-through, "Journal of International Economics", 72(2), 481-511.
  • Baldacci Emanuele, Manmohan S. Kumar, (2010) Fiscal Deficits, Public Debt, and Sovereign Bond Yields, IMF Working Papers 10/184, International Monetary Fund, August.
  • Bellas Dimitri, Michael G. Papaioannou, Iva Petrova, (2010) Determinants of Emerging Market Sovereign Bond Spreads: Fundamentals vs Financial Stress, IMF Working Papers 10/281, International Monetary Fund, December.
  • Benczur Peter, Istvan Konya, (2015) Interest Premium, Sudden Stop, and Adjustment in a Small Open Economy, IEHAS Discussion Papers 15-05, Institute of Economics, Centre for Economic and Regional Studies, Hungarian Academy of Sciences, January.
  • Christoffel Kai, Günter Coenen, Anders Warne, (2008) The New Area-Wide Model of the euro area: a micro-founded open-economy model for forecasting and policy analysis, European Central Bank Working Paper Series 09-44, October.
  • Ciocchini Francisco, Erik Durbin, David T. C. Ng, (2003) Does corruption increase emerging market bond spreads? "Journal of Economics and Business", 55(5-6), 503-528.
  • Dohmen Thomas, Benjamin Enke, Armin Falk, David Huffman, Uwe Sunde, (2016) Patience and the Wealth of Nations, Human Capital and Economic Opportunity Working Group, Working Papers 2016-012, April.
  • Escribano Alvaro, Oscar Jorda, (2001) Testing nonlinearity: Decision rules for selecting between logistic and exponential STAR models, "Spanish Economic Review", 3(3), 193-209.
  • Fagan Gabriel, Vitor Gaspar, (2007) Adjusting to the euro, European Central Bank Working Paper Series 716.
  • Falk Armin, Anke Becker, Thomas Dohmen, Benjamin Enke, David B. Huffman, Uwe Sunde, (2015) The Nature and Predictive Power of Preferences: Global Evidence, IZA Discussion Papers 9504, Institute for the Study of Labor (IZA), November.
  • Ferrucci Gianluigi (2003) Empirical determinants of emerging market economies sovereign bond spreads, Bank of England Working Papers 205, Bank of England, November.
  • Fouejieu Armand, Scott Roger, (2013) Ination Targeting and Country Risk: An Empirical Investigation, IMF Working Papers 13/21, International Monetary Fund, January.
  • Garcia-Cicco Javier, Roberto Pancrazi, Martin Uribe, (2010) Real Business Cycles in Emerging Countries? "American Economic Review", 100(5), 2510-2531.
  • Gonzalez Andres, Timo Teräsvirta, Dick van Dijk, (2005) Panel Smooth Transition Regression Models, SSE/EFI Working Paper Series in Economics and Finance 604, Stockholm School of Economics, August.
  • Granger Clive W.J., Timo Teräsvirta, (1993) Modelling Non-Linear Economic Relationships, Oxford University Press, Oxford.
  • Gumus Inci, (2013) Debt denomination and default risk in emerging markets, "Macroeconomic Dynamics", 17(5), 1070-1095.
  • Hansen Bruce E., (1996) Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis, "Econometrica", 64(2), 413-430.
  • IMF (2013) External balance assessment (EBA) methodology: technical background, Background paper, International Monetary Fund.
  • Justiniano Alejandro, Bruce Preston, (2010) Monetary policy and uncertainty in an empirical small open-economy model, "Journal of Applied Econometrics", 25(1), 93-128.
  • Lane Philip R., Gian Maria Milesi-Ferretti, (2001) The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries, "Journal of International Economics", 55(2), 263-294.
  • Luukkonen Ritva, Pentti Saikkonen, Timo Teräsvirta, (1988) Testing linearity against smooth transition autoregressive models, "Biometrika", 75(3), 491499.
  • Miyamoto Wataru, Thuy Lan Nguyen, (2017) Business Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013, "Journal of International Economics", forthcoming.
  • Schmitt-Grohe Stephanie, Martin Uribe (2003) Closing small open economy models, "Journal of International Economics", 61(1), 163-185.
  • Smets Frank, Raf Wouters, (2005) Comparing shocks and frictions in US and euro area business cycles: a Bayesian DSGE Approach, "Journal of Applied Econometrics", 20(2), 161-183.
  • Teräsvirta Timo, (1994) Specification, estimation, and evaluation of smooth transition autoregressive models, "Journal of the American Statistical Association", 89(425), 208-218.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171529882

Zgłoszenie zostało wysłane

Zgłoszenie zostało wysłane

Musisz być zalogowany aby pisać komentarze.
JavaScript jest wyłączony w Twojej przeglądarce internetowej. Włącz go, a następnie odśwież stronę, aby móc w pełni z niej korzystać.