Risk aversion in the Eurozone
Jonathan Benchimol ()
Research in Economics, 2014, vol. 68, issue 1, 39-56
We propose a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where a risk aversion shock enters a separable utility function. We analyze five periods from 1971 through 2011, each lasting for 20years, to follow over time the dynamics of several parameters such as the risk aversion parameter; the Taylor rule coefficients; and the role of the risk aversion shock in output, inflation, interest rate, and real money balances in the Eurozone. Our analysis suggests that risk aversion was a more important component of output and real money balance dynamics between 2006 and 2011 than it was between 1971 and 2006, at least in the short run.
Keywords: Risk aversion; Output; Money; Eurozone; New Keynesian DSGE models; Bayesian estimation (search for similar items in EconPapers)
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Working Paper: Risk aversion in the Eurozone (2014)
Working Paper: Risk Aversion in the Euro area (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:reecon:v:68:y:2014:i:1:p:39-56
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