| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8177 |
| DP8177 Second Order Approximation of Dynamic Models with Time-Varying Risk | |
| PIerpaolo Benigno; Gianluca Benigno; Salvatore Nisticò | |
| 发表日期 | 2011-01-03 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a conditionally-linear model in which risk is still time-varying but has no distinct role - separated from the primitive stochastic disturbances- in influencing the endogenous variables. The second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using only a first-order approximation of the solution, will be also time varying. |
| 主题 | International Macroeconomics |
| 关键词 | Second order approximation stochastic volatility Uncertainty |
| URL | https://cepr.org/publications/dp8177 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537014 |
| 推荐引用方式 GB/T 7714 | PIerpaolo Benigno,Gianluca Benigno,Salvatore Nisticò. DP8177 Second Order Approximation of Dynamic Models with Time-Varying Risk. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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