frictions for business cycle volatility. In our empirical analysis, we demonstrate that stylised facts suggest that countries … with more developed financial systems have lower business cycle volatility. Financial openness has no strong impact on … business cycle volatility, in contrast. In our theoretical analysis, we use a dynamic general equilibrium model to study the …

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship … country-specific capital flow volatility and that the impact of these variables has become even more important since the 2008 …

is robust across different estimation methods. Moreover, the Markov switching VAR also indicates that the reaction of … macroeconomic variables to the identified shock based on sign restrictions is regime dependent. …

This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption … in a country's output volatility triggers a wealth transfer to that country, in equilibrium; this raises its consumption … volatility shocks. In a recursive preferences-complete markets framework, volatility and risk appetite shocks account for a …

This paper analyzes the effects of output volatility shocks and of risk appetite shocks on the dynamics of consumption … in a country's output volatility triggers a wealth transfer to that country, in equilibrium; this raises its consumption … volatility shocks. In a recursive preferences-complete markets framework, volatility and risk appetite shocks account for a …