| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16633 |
| 来源ID | Working Paper 16633 |
| Second-Order Approximation of Dynamic Models with Time-Varying Risk | |
| Gianluca Benigno; Pierpaolo Benigno; Salvatore Nisticò | |
| 发表日期 | 2010-12-23 |
| 出版年 | 2010 |
| 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 | Microeconomics ; Mathematical Tools |
| URL | https://www.nber.org/papers/w16633 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/574307 |
| 推荐引用方式 GB/T 7714 | Gianluca Benigno,Pierpaolo Benigno,Salvatore Nisticò. Second-Order Approximation of Dynamic Models with Time-Varying Risk. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16633.pdf（241KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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