Artikel
On the business cycle implications of alternative risk aversion formulations
In this paper, I investigate the effects of alternative risk aversion formulations on business cycle properties of an otherwise standard real business cycle economy. I first report on the implications of different risk aversion formulations on impulse response functions of real variables, and show that when risk aversion coefficient co-moves counter-cyclically, responses of real variables vary sizeably due to additional wedges both in the intratemporal and the intertemporal margin. Next, I show that formulating the risk aversion coefficient as random walk instead of a deep structural parameter generates better fit with observed volatilities of real variables. Finally, I report that modelling risk aversion coefficient in an endogenously-driven counter-cyclical way improves match with data on real variable correlations.
- Sprache
-
Englisch
- Erschienen in
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Journal: Central Bank Review (CBR) ; ISSN: 1303-0701 ; Volume: 18 ; Year: 2018 ; Issue: 2 ; Pages: 41-50 ; Amsterdam: Elsevier
- Klassifikation
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Wirtschaft
- Thema
-
Business cycle statistics
Real business cycles
Time-varying risk
Risk preferences
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Torul, Orhan
- Ereignis
-
Veröffentlichung
- (wer)
-
Elsevier
- (wo)
-
Amsterdam
- (wann)
-
2018
- DOI
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doi:10.1016/j.cbrev.2018.02.001
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Torul, Orhan
- Elsevier
Entstanden
- 2018
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