Search Results - subject:"Recursive Preferences"

Equilibrium yield curves under regime switching

García-Verdú, Santiago - 2010

This paper studies how inflation as a macroeconomic indicator affects nominal bond prices. I consider an economy with a representative agent with Epstein-Zin preferences. Regime switching affects the state-space capturing inêation and consumption growth. Thus, the agent is concerned about the...

Persistent link: https://www.econbiz.de/10010322544

Consumption Volatility Risk

Boguth, Oliver; Kuehn, Lars-Alexander - 2009

volatility affects asset prices. We show that in a model where (i) the agent has recursive preferences, (ii) the conditional …

Persistent link: https://www.econbiz.de/10009440955

Pricing of the Time-Change Risks

Shaliastovich, Ivan; Tauchen, George - Duke University, Department of Economics - 2009

We develop a discrete-time real endowment economy featuring recursive preferences and a L´evy time-change subordinator …

Persistent link: https://www.econbiz.de/10008764957

An Equilibrium Model of the Term Structure of Interest Rates: Recursive Preferences at Play

Gonzalez-Astudillo, Manuel - Volkswirtschaftliche Fakultät, … - 2009

In this paper we analyze the performance of an equilibrium model of the term structure of the interest rate under Epstein-Zin/Weil preferences in which consumption growth and inflation follow a VAR process with logistic stochastic volatility. We find that the model can successfully reproduce the...

Persistent link: https://www.econbiz.de/10008559047

Macroeconomic linkages between monetary policy and the term structure of interest rates

Kung, Howard - In: Journal of Financial Economics 115 (2015) 1, pp. 42-57

related. With recursive preferences, these growth and inflation dynamics are crucial for rationalizing key stylized facts in …

Persistent link: https://www.econbiz.de/10011115774

Risk and ambiguity in models of business cycles

Backus, David; Ferriere, Axelle; Zin, Stanley - In: Journal of Monetary Economics 69 (2015) C, pp. 42-63

We inject aggregate uncertainty — risk and ambiguity — into an otherwise standard business cycle model and describe its consequences. We find that increases in uncertainty generally reduce consumption, but they do not account, in this model, for either the magnitude or the persistence of the...

Persistent link: https://www.econbiz.de/10011208553

Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences

Kollmann, Robert - In: Open Economies Review 26 (2015) 2, pp. 175-196

aggregates. Recent research argues that models with persistent growth rate shocks and recursive preferences can solve that puzzle … internationally, then long-run risk generates insufficient exchange rate volatility. A long-run risk model with recursive preferences … asset positions. By contrast, a long-run risk, recursive-preferences model in which only a fraction of households trades in …

Persistent link: https://www.econbiz.de/10011241893

Exchange rates dynamics with long-run risk and recursive preferences

Kollmann, Robert - In: Open economies review 26 (2015) 2, pp. 175-196

Persistent link: https://www.econbiz.de/10011474105

Innovation, growth, and asset prices

Kung, Howard; Schmid, Lukas - In: The journal of finance : the journal of the American … 70 (2015) 3, pp. 1001-1037

Persistent link: https://www.econbiz.de/10011317971

Risk and ambiguity in models of business cycles

Backus, David; Ferriere, Axelle; Zin, Stanley E. - In: Journal of monetary economics 69 (2015), pp. 42-63

Persistent link: https://www.econbiz.de/10011326690