Resumo

ANTON, Arturo  e  VILLEGAS, Alan. El papel de la tasa de interés real en el ciclo económico de México. El trimestre econ [online]. 2013, vol.80, n.320, pp.773-803. ISSN 2448-718X.

This paper presents a small open economy model to study the role of real interest rate shocks in Mexico. The interest rate is divided in two terms: an international rate and a country risk premia. Simulations show that the model with endogenous risk premia is able to explain several stylized facts at business cycle frequencies. Counterfactual analysis suggests that output volatility could be lowered by approximately 30 percent if interest rate shocks are eliminated, especially due to its country risk premia component. In the absence of such shocks, cyclical output and consumption would have fallen by 2 and 4.5 percent during the 1994-1995 recession, in sharp contrast with the falls of 12 and 16 percent observed in the data.

Palavras-chave : riesgo país; crisis del Tequila; ciclos económicos de economías emergentes.