I am a Lecturer (Assistant Professor) at the School of Economics at the University of Kent
I obtained a PhD from the University of Kent and a BA and MA from the University of Zurich
My research interests are International Macroeconomics and Macroeconomics
You can find my University of Kent website here
E-Mail: j.dueber@kent.ac.uk
ECOX6003 - Open Economy Macroeconomics
ECOX5002 - Macroeconomic Analysis
ECON5020 - Macroeconomics
ECON3040 - Principles of Economics
ECON5650 - Extended Economics Essay
ECON5410 - Economics Dissertation
ECON3050 - Mathematics for Economics Mode A
ECON5810 - Introduction to Time-Series Econometrics
Time-varying volatility plays a crucial role in understanding business cycles in emerging market economies. However, the literature treats volatility as an exogenous process. This paper endogenizes time-varying volatility in the debt premium and total factor productivity into a standard small open economy model and assesses the quality of the model by comparing it to emerging market data. An additional volatility channel that operates through the debt premium on the interest rate faced by a small open economy can generate countercyclical net exports and excess volatility in consumption as observed in data on emerging market business cycles.
Experimental evidence suggests that agents’ risk aversion is time-varying and countercyclical. This evidence is at odds with the conventional practice of a constant risk aversion in DSGE models. Introducing a countercyclical time-varying risk aversion into an otherwise standard international real business cycle model helps to generate data moments that are consistent with empirical observations. By introducing a countercyclical risk aversion we can successfully address the Backus-Smith Puzzle and the International Comovement Puzzle. In addition, introducing a countercyclical time-varying risk aversion helps in generating the correct degree of volatility in investment and labor.
Gross capital inflows and outflows in many emerging market economies are characterized by large cyclical fluctuations. This paper analyzes these cyclical fluctuations from the perspective of changes in macroeconomic volatility for the case of Mexico. The first part estimates an open economy dynamic stochastic general equilibrium model with stochastic volatility shocks in TFP and investment efficiency to derive theory based restrictions for a structural VAR. It then continues and applies in the second part a SVAR approach with combined sign and zero restrictions to estimate the impact of volatility shocks on Mexican gross capital flows. Both the DSGE model and the SVAR with sign restrictions are able to generate a negative effect on capital inflows and a positive effect on capital outflows after a shock in domestic stochastic volatility.
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