Guerron, Pablo; Uribe, Martin; Rubio-Ramirez, Juan; … - Society for Economic Dynamics - SED - 2010
volatility in the real interest rates faced by a sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility process for real interest rates using T-bill rates and country spreads and estimate it with the help of the Particle...