Interpreting volatility shocks as preference shocks / by Shaofeng Xu.: FB3-5/2016-45E-PDF
"This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatilityshocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock"--Abstract.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Interpreting volatility shocks as preference shocks / by Shaofeng Xu. |
| Series title | Staff Working Paper, 1701-9397 ; 2016-45 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "October 2016." Includes bibliographical references. Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, c2016. |
| Author / Contributor | Xu, Shaofeng. |
| Description | ii, 13 p. |
| Catalogue number |
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| Subject terms | Markets Modelling |