Equity Returns and Business Cycles in Small Open Economies
在动态随机一般均衡模型中引入借贷成本、资本调整成本等四项修改，成功匹配阿根廷、巴西和智利等小型开放经济的关键商业周期特征和长期股票收益。
This is the first paper in the dynamic stochastic general equilibrium 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: (i) borrowing and lending costs are imposed to increase the volatility of the marginal rate of substitution over time, (ii) capital adjustment costs are assumed to make equity returns more volatile, (iii) GHH preferences are employed to smooth consumption, and (iv) a working capital constraint to generate countercyclical trade balances. Our results are based on data from Argentina, Brazil, and Chile.