Recursive utility, endogenous growth, and the welfare cost of volatility
نویسندگان
چکیده
منابع مشابه
Volatility, Growth, and Welfare
This paper constructs an endogenous growth model driven by self-ful lling expectation shocks to explain the stylized fact that the average growth rate of GDP is related negatively to volatility and positively to capacity utilization. The implied welfare gain from further stabilizing the U.S. economy is about a quarter of annual consumption, which is consistent in order of magnitude with estimat...
متن کاملDynamic Volatility Strategy with Recursive Utility
In this article, an analytical approximate solution method is given to provide investors with the means to make optimal consumption and portfolio choices with recursive utility in a complete market. The investment opportunity set is stochastic over time. The method is used to provide an exact determination of the unit elasticity of intertemporal substitution. An approximate solution method is d...
متن کاملGrowth and Welfare Effects of Monetary Volatility
This paper uses a continuous-time, stochastic, dynamic general equilibrium model to provide estimates of the growth and welfare effects of monetary volatility. Its primary concern is to highlight the long-run consequences of different monetary environments in a small open economy. Using UK-relevant data to set key parameter values in the model, we carry out three policy experiments. We find tha...
متن کاملan investigation about the relationship between insurance lines and economic growth; the case study of iran
مطالعات قبلی بازار بیمه را به صورت کلی در نظر می گرفتند اما در این مطالعه صنعت بیمه به عنوان متغیر مستفل به بیمه های زندگی و غیر زندگی شکسته شده و هم چنین بیمه های زندگی به رشته های مختلف بیمه ای که در بازار بیمه ایران سهم قابل توجهی دارند تقسیم میشود. با استفاده از روشهای اقتصاد سنجی داده های برای دوره های 48-89 از مراکز ملی داده جمع آوری شد سپس با تخمین مدل خود بازگشتی برداری همراه با تعدادی ...
15 صفحه اولEndogenous Financial Development, Growth and Volatility∗
The paper develops a model in which both long–run growth rates and credit market development are endogenous. Agents facing idiosyncratic productivity shocks cannot perfectly commit to repay their loans, but the threat of credit market exclusion specifies endogenous debt limits preventing default in equilibrium. A growth push makes credit market participation more valuable and relaxes debt limit...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Economic Dynamics
سال: 2003
ISSN: 1094-2025
DOI: 10.1016/s1094-2025(03)00016-4