Risk-sensitive real business cycles

• 成果类型: Article
• 署名作者: Tallarini, TD
• 署名单位: Carnegie Mellon University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(00)00012-X
• 发表日期: 2000
• 页码: 507-532
• 关键词: business cycles; asset pricing; non-expected utility

摘要

This paper considers the business cycle, asset pricing, and welfare effects of increased risk aversion, while holding intertemporal substitution preferences constant. I show that increasing risk aversion does not significantly affect the relative variabilities and co-movements of aggregate quantity variables. At the same time, it dramatically improves the model's asset market predictions. The welfare costs of business cycles increase when preference parameters are chosen to match financial data. (C) 2000 Elsevier Science B.V. All rights reserved. JEL classification: E32; G12; D81.