Can shocks to risk aversion explain business cycle fluctuations in Bulgaria (1999-2018)?

Aleksandar Vasilev

Bulgarian Economic Papers from Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski

Abstract: Stochastic risk aversion is introduced into a real-business-cycle setup augmented with a detailed government sector. The model is calibrated to Bulgarian data for the period following the introduction of the currency board arrangement (1999-2018). The quantitative importance of the presence of shocks to risk aversion is investigated for the propagation of cyclical fluctuations in Bulgaria. In particular, allowing for a stochastic risk aversion in the setup improves the model fit vis-a-vis data by increases variability of employment and decreasing the variability of investment. However, those improvements are at the cost of decreasing the volatility of investment and wages.

Keywords: business cycles; stochastic risk aversion; Bulgaria. (search for similar items in EconPapers)
JEL-codes: E24 E32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2021-01, Revised 2021-01
New Economics Papers: this item is included in nep-dge, nep-mac and nep-tra
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.uni-sofia.bg/index.php/eng/content/dow ... file/BEP-2021-01.pdf First version, 2021 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sko:wpaper:bep-2021-01

Access Statistics for this paper

More papers in Bulgarian Economic Papers from Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski Contact information at EDIRC.
Bibliographic data for series maintained by Prof. Teodor Sedlarski ().