This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility Author info | Abstract | Publisher info | Download info | Related research | Statistics Aude Pommeret
Anne Epaulard
Additional information is available for the following
registered author(s):
This paper proposes a measure of the welfare cost of volatitliy derived from an endogenous growth model (AK) under uncertainty extended to the case of a recursive utility function which disentangles risk aversion from intertemporal elasticity of substitution. It encompasses a direct welfare cost of fluctuations and a welfare cost due to the endogeneity of the consumption. The total welfare cost of volatility increases with both the risk aversion and the intertemporal elasticity of substitution. For plausible values of the agent's preference parameters, the cost of volatility may be greater than measures bases on an exogenous process for consumption.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Paper provided by International Monetary Fund in its series IMF Working Papers with number
01/5.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length: 23 pages
Date of creation: 04 Jan 2001Date of revision:
Handle: RePEc:imf:imfwpa:01/5Contact details of provider: Postal: International Monetary Fund, Washington, DC USA Phone: (202) 623-7000 Fax: (202) 623-4661 Email: Web page: http://www.imf.org/external/pubind.htm More information through EDIRC
Order Information: Web: http://www.imf.org/external/pubs/pubs/ord_info.htm
For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).
Keywords: Economic growth ; Consumption ; Economic models ; Other versions of this item:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Garey Ramey & Valerie A. Ramey, 1994.
"Cross-Country Evidence on the Link Between Volatility and Growth ,"
NBER Working Papers
4959, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: John Y. Campbell & John H. Cochrane, 1994.
"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior ,"
CRSP working papers
412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
[Downloadable!]
Other versions: Jim Dolmas, 1998.
"Risk Preferences and the Welfare Cost of Business Cycles ,"
Review of Economic Dynamics ,
Elsevier for the Society for Economic Dynamics, vol. 1(3), pages 646-676, July.
[Downloadable!] (restricted)
Koskievic, Jean-Max, 1999.
"An intertemporal consumption-leisure model with non-expected utility ,"
Economics Letters ,
Elsevier, vol. 64(3), pages 285-289, September.
[Downloadable!] (restricted)
Andrew Atkeson & Christopher Phelan, 1994.
"Reconsidering the Costs of Business Cycles with Incomplete Markets ,"
NBER Chapters ,
in: NBER Macroeconomics Annual 1994, Volume 9, pages 187-218
National Bureau of Economic Research, Inc.
[Downloadable!]
Other versions: Smith, William T., 1996.
"Taxes, uncertainty, and long-term growth ,"
European Economic Review ,
Elsevier, vol. 40(8), pages 1647-1664, November.
[Downloadable!] (restricted)
Kreps, David M & Porteus, Evan L, 1978.
"Temporal Resolution of Uncertainty and Dynamic Choice Theory ,"
Econometrica ,
Econometric Society, vol. 46(1), pages 185-200, January.
[Downloadable!] (restricted)
Larry E. Jones & Rodolfo E. Manuelli & Henry E. Siu, 2000.
"Growth and business cycles ,"
Staff Report
271, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Jorion, Philippe & Giovannini, Alberto, 1993.
"Time-series tests of a non-expected-utility model of asset pricing ,"
European Economic Review ,
Elsevier, vol. 37(5), pages 1083-1100, June.
[Downloadable!] (restricted)
Other versions: Gadi Barlevy, 2000.
"Evaluating the Costs of Business Cycles in Models of Endogenous Growth ,"
Discussion Papers
1287, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
[Downloadable!]
TallariniJr., Thomas D., 2000.
"Risk-sensitive real business cycles ,"
Journal of Monetary Economics ,
Elsevier, vol. 45(3), pages 507-532, June.
[Downloadable!] (restricted)
Other versions: Chris Otrok, 1999.
"On Measuring the Welfare Cost of Business Cycles ,"
Virginia Economics Online Papers
318, University of Virginia, Department of Economics.
[Downloadable!]
Other versions:
Christopher Otrok, 2000.
"On Measuring the Welfare Cost of Business Cycles ,"
Econometric Society World Congress 2000 Contributed Papers
1094, Econometric Society.
[Downloadable!] Otrok, Christopher, 2001.
"On measuring the welfare cost of business cycles ,"
Journal of Monetary Economics ,
Elsevier, vol. 47(1), pages 61-92, February.
[Downloadable!] (restricted) Svensson, Lars E. O., 1989.
"Portfolio choice with non-expected utility in continuous time ,"
Economics Letters ,
Elsevier, vol. 30(4), pages 313-317, October.
[Downloadable!] (restricted)
Other versions: Epstein, Larry G & Zin, Stanley E, 1991.
"Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis ,"
Journal of Political Economy ,
University of Chicago Press, vol. 99(2), pages 263-86, April.
[Downloadable!] (restricted)
Greenwood, Jeremy & Hercowitz, Zvi & Huffman, Gregory W, 1988.
"Investment, Capacity Utilization, and the Real Business Cycle ,"
American Economic Review ,
American Economic Association, vol. 78(3), pages 402-17, June.
[Downloadable!] (restricted)
repec:att:wimass:1919999 is not listed on IDEAS
Obstfeld, Maurice, 1994.
"Evaluating risky consumption paths: The role of intertemporal substitutability ,"
European Economic Review ,
Elsevier, vol. 38(7), pages 1471-1486, August.
[Downloadable!] (restricted)
Other versions: Maurice Obstfeld, 1995.
"Risk-Taking, Global Diversification, and Growth ,"
NBER Working Papers
4093, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Maurice Obstfeld, 1992.
"Risk-taking, global diversification, and growth ,"
Discussion Paper / Institute for Empirical Macroeconomics
61, Federal Reserve Bank of Minneapolis.
[Downloadable!] Obstfeld, Maurice, 1992.
"Risk-Taking, Global Diversification, and Growth ,"
CEPR Discussion Papers
688, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Maurice Obstfeld., 1993.
"Risk-Taking, Global Diversification, and Growth ,"
Center for International and Development Economics Research (CIDER) Working Papers
C93-016, University of California at Berkeley.
Obstfeld, Maurice, 1994.
"Risk-Taking, Global Diversification, and Growth ,"
American Economic Review ,
American Economic Association, vol. 84(5), pages 1310-29, December.
[Downloadable!] (restricted) Imrohoruglu, Ayse, 1989.
"Cost of Business Cycles with Indivisibilities and Liquidity Constraints ,"
Journal of Political Economy ,
University of Chicago Press, vol. 97(6), pages 1364-83, December.
[Downloadable!] (restricted)
Weil, Philippe, 1989.
"The equity premium puzzle and the risk-free rate puzzle ,"
Journal of Monetary Economics ,
Elsevier, vol. 24(3), pages 401-421, November.
[Downloadable!] (restricted)
Other versions: Larry E. Jones & Rodolfo E. Manuelli & Ennio Stacchetti, 1999.
"Technology (and Policy) Shocks in Models of Endogenous Growth ,"
NBER Working Papers
7063, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Narayana R. Kocherlakota, 1996.
"The Equity Premium: It's Still a Puzzle ,"
Journal of Economic Literature ,
American Economic Association, vol. 34(1), pages 42-71, March.
[Downloadable!] (restricted)
Other versions: Stephane Pallage & Michel A. Robe, 2003.
"On the Welfare Cost of Economic Fluctuations in Developing Countries ,"
International Economic Review ,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 677-698, 05.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
repec:bep:mactop:v:6:y:2007:i:3:p:1151-1151 is not listed on IDEAS
Frank Portier & Luis A. Puch, 2004.
"The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets ,"
Documentos del Instituto Complutense de Análisis Económico
0403, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
[Downloadable!]
Other versions:
Luis A. Puch & Franck Portier, 2004.
"The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets ,"
2004 Meeting Papers
570, Society for Economic Dynamics.
[Downloadable!] Franck Portier & Luis A. Puch, .
"The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets ,"
Working Papers
2005-18, FEDEA.
[Downloadable!] Portier, Franck & Puch, Luis, 2004.
"The Welfare Cost of Business Cycles in an Economy with Non-Clearing Markets ,"
CEPR Discussion Papers
4799, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Franck Portier & Luis A. Puch, 2007.
"The Welfare Cost of Business Cycles in an Economy with Nonclearing Markets ,"
The B.E. Journal of Macroeconomics ,
Berkeley Electronic Press, vol. 0(3).
[Downloadable!] Robert M. Townsend & Kenichi Ueda, 2007.
"Welfare Gains from Financial Liberalization ,"
IMF Working Papers
07/154, International Monetary Fund.
[Downloadable!]
Olaf, POSCH & Klaus, WAELDE, 2005.
"Natural volatility, welfare and taxation ,"
Discussion Papers (ECON - Département des Sciences Economiques)
2005009, Université catholique de Louvain, Département des Sciences Economiques.
[Downloadable!]
Other versions:
Olaf Posch & Klaus Wälde, 2006.
"Natural volatility, welfare and taxation ,"
Working Papers
2007_33, Department of Economics, University of Glasgow.
[Downloadable!] Olaf Posch & Klaus Wälde, 2006.
"Natural Volatility, Welfare and Taxation ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!] Olaf Posch & Klaus Wälde, 2006.
"Natural volatility, welfare and taxation ,"
Computing in Economics and Finance 2006
95, Society for Computational Economics.
[Downloadable!] Gadi Barlevy, 2005.
"The cost of business cycles and the benefits of stabilization ,"
Economic Perspectives ,
Federal Reserve Bank of Chicago, issue Q I, pages 32-49.
[Downloadable!]
Luca Agnello & Ricardo M. Sousa, 2009.
"The Determinants of Public Deficit Volatility ,"
NIPE Working Papers
11/2009, NIPE - Universidade do Minho.
[Downloadable!]
Other versions: Gadi Barlevy, 2004.
"The Cost of Business Cycles and the Benefits of Stabilization: A Survey ,"
NBER Working Papers
10926, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Ricardo Reis, 2005.
"The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuation ,"
NBER Working Papers
11297, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Reis, Ricardo, 2005.
"The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations ,"
CEPR Discussion Papers
5054, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Ricardo Reis, 2005.
"The time-series properties of aggregate consumption: implications for the costs of fluctuations ,"
Working Papers
134, Princeton University, Woodrow Wilson School of Public and International Affairs, Discussion Papers in Economics..
[Downloadable!] Ricardo Reis, 2009.
"The Time-Series Properties of Aggregate Consumption: Implications for the Costs of Fluctuations ,"
Journal of the European Economic Association ,
MIT Press, vol. 7(4), pages 722-753, 06.
[Downloadable!] (restricted) François Gourio, 2009.
"Disasters Risk and Business Cycles ,"
NBER Working Papers
15399, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Pengfei Wang & Yi Wen, 2007.
"Endogenous volatility, endogenous growth, and large welfare gains from stabilization policies ,"
Working Papers
2006-032, Federal Reserve Bank of St. Louis.
[Downloadable!]
Aude POMMERET & William T. SMITH, 2004.
"Fertility, Volatility, and Growth ,"
Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP)
04.08, Université de Lausanne, Faculté des HEC, DEEP.
[Downloadable!]
Other versions:
Pommeret, Aude & Smith, William T., 2005.
"Fertility, volatility, and growth ,"
Economics Letters ,
Elsevier, vol. 87(3), pages 347-353, June.
[Downloadable!] (restricted) Gadi Barlevy, 2003.
"The Cost of Business Cycles Under Endogenous Growth ,"
NBER Working Papers
9970, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robert J. Barro, 2007.
"Rare Disasters, Asset Prices, and Welfare Costs ,"
NBER Working Papers
13690, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robert E. Lucas, 2003.
"Macroeconomic Priorities ,"
American Economic Review ,
American Economic Association, vol. 93(1), pages 1-14, March.
[Downloadable!]
Access and
download statistics Did you know? IDEAS uses the data collected within the RePEc project , the largest online bibliographic database in Economics.
This page was last updated on 2009-11-20.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .