Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions

Principal Investigator(s): View help for Principal Investigator(s) Andrés Fernández; Adam Gulan

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Project Citation:

Fernández, Andrés, and Gulan, Adam. Replication data for: Interest Rates, Leverage, and Business Cycles in Emerging Economies: The Role of Financial Frictions. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114053V1

Project Description

Summary: Countercyclical country interest rates have been shown to be an important characteristic of business cycles in emerging markets. In this paper we provide a microfounded rationale for this pattern by linking interest rate spreads to the dynamics of corporate leverage. For this purpose we embed a financial accelerator into a business cycle model of a small open economy and estimate it on a novel panel dataset for emerging economies that merges macroeconomic and financial data. The model accounts well for the empirically observed countercyclicality of interest rates and leverage, as well as for other stylized facts. (JEL E13, E32, E43, E44, F41, O11)

Scope of Project

JEL Classification:
      E13 General Aggregative Models: Neoclassical
      E32 Business Fluctuations; Cycles
      E43 Interest Rates: Determination, Term Structure, and Effects
      E44 Financial Markets and the Macroeconomy
      F41 Open Economy Macroeconomics
      O11 Macroeconomic Analyses of Economic Development

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V1 [2019-10-12]

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