Shaofeng Xu - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:03:20+00:00Model Uncertainty and Wealth Distribution
https://www.bankofcanada.ca/2019/12/staff-working-paper-2019-48/
This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.2019-12-17T08:29:50+00:00enModel Uncertainty and Wealth Distribution2019-12-17Asset pricingBusiness fluctuations and cyclesEconomic modelsStaff Working Paper 2019-48https://www.bankofcanada.ca/wp-content/uploads/2019/12/swp2019-48.pdfModel Uncertainty and Wealth DistributionEdouard DjeutemShaofeng XuDecember 2019DD3D8EE2The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?
https://www.bankofcanada.ca/2018/12/staff-working-paper-2018-59/
We document countercyclical corporate saving behavior with the degree of countercyclicality varying nonmonotonically with firm size. We then develop a dynamic stochastic general equilibrium model with heterogeneous firms to explain the pattern and study its implications for business cycles.2018-12-17T15:00:32+00:00enThe Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?2018-12-17Business fluctuations and cyclesEconomic modelsStaff Working Paper 2018-59https://www.bankofcanada.ca/wp-content/uploads/2018/12/swp2018-59.pdfThe Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier?Xiaodan GaoShaofeng XuDecember 2018EE2E20E22E3E32GG3G31G32Volatility Risk and Economic Welfare
https://www.bankofcanada.ca/2017/05/staff-working-paper-2017-20/
This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital
adjustment costs.2017-05-26T15:43:45+00:00enVolatility Risk and Economic Welfare2017-05-26Business fluctuations and cyclesEconomic modelsStaff Working Paper 2017-20https://www.bankofcanada.ca/wp-content/uploads/2017/05/swp2017-20.pdfVolatility Risk and Economic WelfareShaofeng XuMay 2017EE2E3Interpreting 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 2016EE2E3On the Welfare Cost of Rare Housing Disasters
https://www.bankofcanada.ca/2015/07/working-paper-2015-26/
This paper examines the welfare cost of rare housing disasters characterized by large drops in house prices. I construct an overlapping generations general equilibrium model with recursive preferences and housing disaster shocks.2015-07-16T09:32:08+00:00enOn the Welfare Cost of Rare Housing Disasters2015-07-16Asset pricingEconomic modelsHousingWorking Paper 2015-26https://www.bankofcanada.ca/wp-content/uploads/2015/07/wp2015-26.pdfOn the Welfare Cost of Rare Housing DisastersShaofeng XuJuly 2015EE2E21E4E44GG1G11RR2R21An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
https://www.bankofcanada.ca/2013/04/working-paper-2013-9/
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005.2013-04-22T13:28:44+00:00enAn Equilibrium Analysis of the Rise in House Prices and Mortgage Debt2013-04-22Asset pricingCredit and credit aggregatesEconomic modelsWorking Paper 2013-09https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-09.pdfAn Equilibrium Analysis of the Rise in House Prices and Mortgage DebtShaofeng XuApril 2013EE2E21E4E44GG1G11RR2R21