Pancrazi, Roberto - In: Journal of Economic Dynamics and Control 46 (2014) C, pp. 73-90
This paper computes the welfare effect of the Great Moderation, using a representative-agent consumption-based asset … pricing model. The Great Moderation is modeled according to the data properties of consumption and dividend growth rates … asset pricing variables, as well as consumption and dividend dynamics before and during the Great Moderation. The model …