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| 01702cam 2200301za 4500 |
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| 001 | 9.837775 |
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| 003 | CaOODSP |
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| 005 | 20221107151223 |
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| 007 | cr ||||||||||| |
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| 008 | 170606s2017 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-20E-PDF |
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| 100 | 1 |aXu, Shaofeng. |
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| 245 | 10|aVolatility risk and economic welfare |h[electronic resource] / |cby Shaofeng Xu. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |aii, 29 p. : |bcol. charts |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-20 |
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| 500 | |a"May 2017." |
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| 504 | |aIncludes bibliographical references (22-25). |
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| 520 | 3 |a“This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility can decelerate growth in the absence of any level shocks. In contrast to level risk, which is always welfare reducing for a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When calibrated to U.S. data, the model finds that the welfare cost of volatility risk is largely negligible under plausible model parameterizations"--Abstract, p. ii. |
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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aEconomic analysis |
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| 692 | 07|2gccst|aModelling |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-20|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s513 KB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-20-eng.pdf |
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