IDEAS home Printed from https://ideas.repec.org/p/ebg/essewp/dr-10005.html

Money and Risk Aversion in a DSGE Framework: A Bayesian Application to the Euro Zone

Author

Listed:
  • Benchimol, Jonathan

    (CES, University Paris 1 Panthéon-Sorbonne and Department of Economics, ESSEC Business School)

  • Fourçans, André

    (ESSEC Business School, Department of Economics)

Abstract

In this paper, we set up and test a model of the Euro zone, with a special emphasis on the role of money. The model follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption. By using bayesian estimation techniques, we shed light on the determinants of output and inflation, but also of the interest rate, real money balances, flexible-price output and flexible-price real money balances variances. The role of money is investigated further. We find that its impact on output depends on the degree of agents’ risk aversion, increases with this degree, and becomes significant when risk aversion is high enough. The direct impact of the money variable on inflation variability is essentially minor whatever the risk aversion level, the interest rate (monetary policy) being the overwhelming explanatory factor.

Suggested Citation

  • Benchimol, Jonathan & Fourçans, André, 2010. "Money and Risk Aversion in a DSGE Framework: A Bayesian Application to the Euro Zone," ESSEC Working Papers DR 10005, ESSEC Research Center, ESSEC Business School.
    • Handle: RePEc:ebg:essewp:dr-10005
    as

    Download full text from publisher

    File URL: http://www.essec.fr/faculty/showDeclFileRes.do?declId=9150&key=__workpaper__
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Franz Seitz & Markus A. Schmidt, 2014. "Money In Modern Macro Models: A Review of the Arguments," Journal of Reviews on Global Economics, Lifescience Global, vol. 3, pages 156-174.
    2. Crifo, Patricia & Mottis, Nicolas, 2010. "SRI Analysis and Asset Management: Independent or Convergent? A Field Study on the French Market," ESSEC Working Papers DR 10006, ESSEC Research Center, ESSEC Business School.

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ebg:essewp:dr-10005. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sophie Magnanou (email available below). General contact details of provider: https://edirc.repec.org/data/essecfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.