Risk Matters: The Real Effects of Volatility Shocks

  • Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, +4 authors Javier García-Cicco
  • Published 2009

Abstract

2530 This paper shows how changes in the volatility of the real interest rate at which emerging economies borrow have a substantial effect on real variables like output, consumption, investment, and hours worked. These effects appear even when the realized real interest rate itself remains constant. We argue that, consequently, the time-varying volatility… (More)

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@inproceedings{FernndezVillaverde2009RiskMT, title={Risk Matters: The Real Effects of Volatility Shocks}, author={Jes{\'u}s Fern{\'a}ndez-Villaverde and Pablo Guerr{\'o}n-Quintana and Juan F. Rubio-Ramirez and Martin Uribe and Mark Aguiar and Marco Bomono and Javier Garc{\'i}a-Cicco}, year={2009} }