An Estimated Small Open Economy Model of the Financial Accelerator /

This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabi...

Ausführliche Beschreibung

Bibliographische Detailangaben
1. Verfasser: Justiniano Espigares, Alejandro
Weitere Verfasser: Elekdag, Selim, Tchakarov, Ivan
Format: Zeitschrift
Sprache:English
Veröffentlicht: Washington, D.C. : International Monetary Fund, 2005.
Schriftenreihe:IMF Working Papers; Working Paper ; No. 2005/044
Online Zugang:Full text available on IMF
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100 1 |a Justiniano Espigares, Alejandro. 
245 1 3 |a An Estimated Small Open Economy Model of the Financial Accelerator /  |c Alejandro Justiniano Espigares, Selim Elekdag, Ivan Tchakarov. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2005. 
300 |a 1 online resource (27 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |a This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabilities combined with the presence of the financial accelerator for emerging market countries. Using Korean data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, our estimates of the Taylor rule imply a strong preference to smooth both exchange rate and interest rate fluctuations. 
538 |a Mode of access: Internet 
700 1 |a Elekdag, Selim. 
700 1 |a Tchakarov, Ivan. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2005/044 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2005/044/001.2005.issue-044-en.xml  |z IMF e-Library