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2013-05-02Buch DOI: 10.18452/4462
Decomposing Risk in Dynamic Stochastic General Equilibrium
dc.contributor.authorLan, Hong
dc.contributor.authorMeyer-Gohde, Alexander
dc.date.accessioned2017-06-16T00:50:49Z
dc.date.available2017-06-16T00:50:49Z
dc.date.created2013-07-11
dc.date.issued2013-05-02
dc.date.submitted2013-05-02
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5114
dc.description.abstractWe analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes a time-varying risk adjustment channel that induces variability in conditional asset pricing measures and assigns a substantial portion of the variance of macroeconomic variables to variations in precautionary behavior, both while leaving its ability to match key macroeconomic and asset pricing facts untouched. Our method decomposes moments into contributions from realized shocks and differing orders of approximation and from shifts in the distribution of future shocks, enabling us to identify the common channel through which stochastic volatility in isolation operates and through which conditional asset pricing measures vary.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic volatilityeng
dc.subjectDSGEeng
dc.subjectRecursive preferenceseng
dc.subjectasset pricingeng
dc.subjectmoment calculationeng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleDecomposing Risk in Dynamic Stochastic General Equilibrium
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100211015
dc.identifier.doihttp://dx.doi.org/10.18452/4462
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages60
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2013
local.edoc.container-issue22
local.edoc.container-year2013
local.edoc.container-erstkatid2195055-6

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