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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.825979&sl=1
| Ministère/Organisme | Bank of Canada. |
|---|---|
| Titre | Interpreting volatility shocks as preference shocks / by Shaofeng Xu. |
| Titre de la série | Staff Working Paper, 1701-9397 ; 2016-45 |
| Type de publication | Série - Voir l'enregistrement principal |
| Langue | [Anglais] |
| Format | Électronique |
| Document électronique | |
| Note(s) | "October 2016." Includes bibliographical references. Includes abstract in French. |
| Information sur la publication | [Ottawa] : Bank of Canada, c2016. |
| Auteur / Contributeur | Xu, Shaofeng. |
| Description | ii, 13 p. |
| Numéro de catalogue |
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| Descripteurs | Markets Modelling |