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. |
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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 |
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