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How beneficial was the great moderation after all?
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Pancrazi, Roberto (2013) How beneficial was the great moderation after all? Working Paper. Coventry, UK: University of Warwick, Department of Economics. Warwick economics research papers series (TWERPS), Volume 2013 (Number 1016).
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Text (Working paper)
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
In this paper I compute the welfare effect of the Great Moderation, using a consumption based asset pricing model. The Great Moderation is modelled according to the data properties of consumption and dividend growth, which display a reduction of their innovation-volatility
and increased persistence. The theoretical model (a long-run risk model), calibrated to match average asset pricing variables in the data, is able to capture the two features of the Great Moderation, and it predicts a welfare loss caused by the Great Moderation (-0.9 percent),
due mainly to the utility cost of a late uncertainty resolution.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Consumption (Economics) , Public welfare , Economics -- Mathematical models, Monetary policy , Macroeconomics | ||||
Series Name: | Warwick economics research papers series (TWERPS) | ||||
Publisher: | University of Warwick, Department of Economics | ||||
Place of Publication: | Coventry, UK | ||||
Official Date: | 19 June 2013 | ||||
Dates: |
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Volume: | Volume 2013 | ||||
Number: | Number 1016 | ||||
Number of Pages: | 41 | ||||
Institution: | University of Warwick | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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