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A Real Business Cycle Model with Changing Sentiments

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Author Info
Kirill Sossunov (New Economic School)

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Abstract

In this paper the modification of the real business cycles model in which risk aversion parameter of agents’ utility function follows bivariate markov chain is developed and estimated using simulated VAR. The model’s ability to replicate properties of US quarterly data is compared with that of the standard real business cycles model. The main finding is that the model with markov switching performs at least well as the standard model. The model with markov switching also matches some features of the data which the standard RBC model is unable to match.

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File URL: http://129.3.20.41/eps/mac/papers/0210/0210005.pdf
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Publisher Info
Paper provided by EconWPA in its series Macroeconomics with number 0210005.

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Date of creation: 22 Oct 2002
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Handle: RePEc:wpa:wuwpma:0210005

Note: Type of Document - PDF; prepared on IBM PC; to print on HP/PostScript/Franciscan monk; figures: included
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Web page: http://129.3.20.41

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Related research
Keywords: macroeconomics business cycles;

Find related papers by JEL classification:
E - Macroeconomics and Monetary Economics

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.:

  1. Gordon, Stephen & St-Amour, Pascal, 1997. "Asset Prices with Contingent Preferences," Cahiers de recherche 9712, Université Laval - Département d'économique, revised 08 Jun 1998. [Downloadable!]
  2. Smith, A A, Jr, 1993. "Estimating Nonlinear Time-Series Models Using Simulated Vector Autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S63-84, Suppl. De. [Downloadable!] (restricted)
  3. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  4. Bakshi, Gurdip S & Chen, Zhiwu, 1996. "The Spirit of Capitalism and Stock-Market Prices," American Economic Review, American Economic Association, vol. 86(1), pages 133-57, March. [Downloadable!] (restricted)
  5. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-30.

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