The country risk premium predicted by the dynamic real business cycle models in emerging markets is procyclical, whereas it is countercyclical in the data. This paper proposes a model in which a time-varying risk premium emerges endogenously through a variant of the Bernanke–Gertler–Gilchrist financial accelerator mechanism. The estimated model can account for the volatility and the countercyclicality of risk premium as well as for other key business cycle moments. Time-varying uncertainty in firm-specific productivity significantly contributes to delivering a countercyclical default rate and explains more than half of the variances in the trade balance and risk premium.

中文翻译：

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新兴经济体的金融摩擦和宏观经济波动

新兴市场动态真实商业周期模型预测的国家风险溢价是顺周期的，而在数据上是反周期的。本文提出了一个模型，其中时变风险溢价通过伯南克-格特勒-吉尔克里斯特金融加速器机制的变体内生地出现。估计模型可以考虑风险溢价的波动性和反周期性以及其他关键的商业周期时刻。企业特定生产力随时间变化的不确定性显着促成了反周期违约率，并解释了贸易余额和风险溢价的一半以上差异。