Risk Matters: The Real Effects of Volatility Shocks
研究了小型开放新兴经济体借款的实际利率波动性变化对产出、消费、投资和工时等变量的重要影响，发现实际利率波动性上升会导致这些变量下降。
We show how changes in the volatility of the real interest rate at which small open emerging economies borrow have an important effect on variables like output, consumption, investment, and hours. We start by documenting the strong evidence of time-varying volatility in the real interest rates faced by four emerging economies: Argentina, Brazil, Ecuador, and Venezuela. We estimate a stochastic volatility process for real interest rates. Then, we feed this process in a standard small open economy business cycle model. We find that an increase in real interest rate volatility triggers a fall in output, consumption, investment, hours, and debt.