Corruption, interest rates and business cycles: comparison of emerging economies
Corruption, interest rates and business cycles: comparison of emerging economies
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腐败、利率和商业周期：新兴经济体的比较
DOI：
10.1007/s10644-017-9206-5
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发表时间：
2017
影响因子：
3.1
通讯作者：
Tomoya Suzuki
中科院分区：
文献类型：
--
作者：
Suzuki;Tomoya;Tomoya Suzuki
我们检验了这样一种假设，即一国的腐败通过提高特定国家的利率(利率冲击)对宏观经济产生负面影响。一项经验研究估计，在小型开放经济体的随机增长模型框架内，利率冲击对墨西哥产出增长差异的贡献为5.1%。我们用相同的数据集重复了这项研究，并调查了哪些参数影响利率冲击对商业周期的贡献。然后，我们估计不同新兴经济体的腐败程度与利率冲击对宏观经济的贡献之间的关系。为此，我们使用透明国际的清廉指数(CPI)来衡量腐败程度。最后，我们考察了CPI与利率冲击估计序列之间的相关性。我们的研究结果如下。首先，利率冲击的平均规模与这些冲击对产出增长变异性的贡献呈正相关。其次，利率冲击的平均规模也与腐败程度正相关。第三，估计的利率冲击与腐败程度正相关。当我们将腐败程度视为模型中的外生变量时，这些发现使我们接受了这一假设。《附录》进一步澄清了一个众所周知的假设，即周期是新兴经济体的趋势。
We examine the hypothesis that corruption in a country negatively influences the macroeconomy through an increase in the country-specific interest rate (interest rate shock). An empirical study estimated the contribution of the interest rate shocks to the variance in output growth at 5.1% in Mexico within the framework of stochastic growth models for small open economies. We replicate this study with the same dataset and investigate which parameters affect the contribution of the interest rate shocks to business cycles. Then, we estimate the same model for different emerging economies to investigate the relationship between the corruption level and macroeconomic contribution of the interest rate shocks. For this purpose, we use Transparency International’s Corruption Perceptions Index (CPI) to measure the corruption level. Finally, we investigate the correlation between the CPI and the estimated series of the interest rate shock. Our findings are as follows. First, the average size of the interest rate shocks is positively associated with the contribution of these shocks to the variability of output growth. Second, the average size of the interest rate shocks is also positively associated with the corruption level. Third, the estimated interest rate shock and the corruption level are positively correlated with each other. As we treat the corruption level as an exogenous variable in the model, these findings lead us to accept the hypothesis. The “Appendix” further clarifies a well-known hypothesis that the cycle is the trend in an emerging economy.