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.
Permanent link to this Catalogue record:
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| Title | Interpreting volatility shocks as preference shocks / by Shaofeng Xu. |
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| Publication type | Monograph - View Master Record |
| Language | [English] |
| Format | Digital text |
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| Description | ii, 13 p. |
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