Risk aversion in the Eurozone
Jonathan Benchimol ()
Post-Print from HAL
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 20 years, 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: Bayesian estimation; Risk aversion; Output; Money; Eurozone; New Keynesian DSGE models (search for similar items in EconPapers)
Note: View the original document on HAL open archive server: https://hal-paris1.archives-ouvertes.fr/hal-01165965
References: Add references at CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed
Published in Research in Economics, Elsevier, 2014, 68 (1), pp.39-56. ⟨10.1016/j.rie.2013.11.005⟩
There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.
Journal Article: Risk aversion in the Eurozone (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01165965
Access Statistics for this paper
More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().