Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. We investigate whether these are linked to credit market imperfections. To this end, we develop a small open economy Dynamic Stochastic General Equilibrium (DSGE) framework featuring both permanent and transitory productivity shocks, endogenous exchange rate movements, and liability dollarization and valuation affects, thereby accounting for the fact that emerging markets are facing difficulties in borrowing in domestic currency on international capital markets. We estimate our model using Bayesian techniques for several EMEs, thereby controlling for potential heterogeneity across countries. Our main findings regarding EMEs’ business cycles are (i) despite financial frictions, trend shocks are the main determinant of macroeconomic fluctuations, (ii) accounting for liability dollarization ameliorates the model fit, and (iii) valuation effects on average stabilize changes in the net foreign asset position.

了解新兴市场经济体 (EME) 与工业化国家之间商业周期现象的差异一直是近期宏观经济波动研究的中心。我们调查这些是否与信贷市场不完善有关。为此，我们开发了一个小型开放经济动态随机一般均衡 (DSGE) 框架，该框架具有永久性和暂时性生产力冲击、内生汇率变动以及负债美元化和估值影响，从而解释了新兴市场面临困难的事实。在国际资本市场上以本国货币借款。我们使用贝叶斯技术估计我们的模型，用于几个新兴市场经济体，从而控制不同国家的潜在异质性。