Shaofeng Xu - Latest - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T07:04:53+00:00Interpreting Volatility Shocks as Preference Shocks
https://www.bankofcanada.ca/2016/10/staff-working-paper-2016-45/
This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.2016-10-03T16:59:03+00:00enInterpreting Volatility Shocks as Preference Shocks2016-10-03Business fluctuations and cyclesEconomic modelsStaff Working Paper 2016-45https://www.bankofcanada.ca/wp-content/uploads/2016/10/swp2016-45.pdfInterpreting Volatility Shocks as Preference ShocksShaofeng XuOctober 2016EE2E3