波动的利率，脆弱的增长：全球金融风险与生产率动态

International Finance Discussion Papers Number 1434 March 2026 Volatile Rates, Fragile Growth: Global Financial Risk and ProductivityDynamics Nils Gornemann, Eugenio Rojas, Felipe Saffie Please cite this paper as:Gornemann, Nils, Eugenio Rojas, Felipe Saffie (2026).“Volatile Rates, Fragile Growth:GlobalFinancial Risk and Productivity Dynamics,”International Finance DiscussionPapers1434.Washington:Boardof Governors of the Federal Reserve System,https://doi.org/10.17016/IFDP.2026.1434. NOTE: International Finance Discussion Papers (IFDPs) are preliminary materials circulated to stimu-late discussion and critical comment.The analysis and conclusions set forth are those of the authors anddo not indicate concurrence by other members of the research staff or the Board of Governors. Referencesin publications to the International Finance Discussion Papers Series (other than acknowledgement) shouldbe cleared with the author(s) to protect the tentative character of these papers. Recent IFDPs are availableon the Web at www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from theSocial Science Research Network electronic library at www.ssrn.com. Volatile Rates, Fragile Growth: Global Financial Risk and Productivity Dynamics* NILSGORNEMANN†Federal Reserve BoardEUGENIOROJAS‡University of FloridaFELIPESAFFIE§University of Virginia & NBER March 6, 2026 Abstract Does global financial risk affect long-run growth? Using a panel state-space model for emerg-ing and advanced small open economies, we measure the effects of U.S. monetary policy un-certainty shocks. A one-standard-deviation shock lowers the level of the stochastic trend inemerging markets by at least 25 basis points after three years, with little effect in advancedeconomies.A small open economy model with growth through innovation and occasion-ally binding borrowing constraints explains this heterogeneity: higher interest-rate volatilitydepresses valuations, tightens collateral constraints, and slows innovation in equilibrium. Anovel interaction between the occasionally binding constraint and stochastic volatility is keyfor our results. Keywords: Endogenous Growth, Stochastic Interest Rate Volatility, Financial Frictions, Long- Term Productivity Trends, Global Financial Risk Cycle JEL Classifications: F32, F41, G15, O16 1Introduction Emerging markets are vulnerable to shifts in global financial conditions. When perceived globaleconomic risk increases –signaled by rising measures like the VIX or widening credit spreads– cap-ital flows to emerging economies reverse sharply, exchange rates depreciate, and output contracts(Rey, 2015; Miranda-Agrippino and Rey, 2020). This sensitivity to global financial volatility is adefining feature of emerging market business cycles. These economies also exhibit substantiallygreater volatility in their trend growth than advanced economies (Aguiar and Gopinath, 2007).Are these two facts connected? Does global financial risk affect not only short run fluctuations butalso the trajectory of long run productivity growth? This paper provides evidence that it does. We estimate a panel state space model for two groups of small open economies, emerging mar-kets and advanced economies, from 1993 to 2019. The model delivers estimates of the time varyinggrowth rate of country specific trends in GDP, consumption, and investment, while decomposingeach trend into two components, one driven by global financial uncertainty and one capturing allother sources of trend variation. Our baseline measure of global financial risk is an innovation toU.S. monetary policy uncertainty, identified as in Husted et al. (2020). We find that shocks to U.S.interest rate uncertainty generate persistent declines in the estimated stochastic trend of economicactivity in emerging market economies, with no comparable effect in advanced economies. An in-crease in perceived uncertainty by one standard deviation lowers the level of the estimated trendin emerging markets by at least 25 basis points after three years with no resulting make up growthlater in time.The result is robust across multiple measures of global financial uncertainty andremains when conditioning on U.S. macroeconomic and credit conditions. Advanced economiesexhibit a significantly smaller response. To explain these different responses, we develop a small open economy model with three keyingredients, endogenous productivity growth through innovation and firm entry, occasionallybinding collateral constraints with firm value as collateral, and stochastic volatility in world inter-est rates. The mechanism operates through firms’ investment into productivity enhancing inno-vations. Households own firms and can borrow internationally, but only up to a fraction of thepresent value of their firms’ future profits. When interest rate volatility rises, the expected presentvalue of these profits falls, both because households discount the future more heavily and because l