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Risk Aversion in the Euro area

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  • Jonathan Benchimol

    () (CES - Centre d'économie de la Sorbonne - UP1 - Université Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique, Economics Department - Essec Business School)

Abstract

We propose a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where a risk aversion shock enters a separable utility function. We analyze five periods, each one lasting twenty years, to follow over time the dynamics of several parameters (such as the risk aversion parameter), the Taylor rule coefficients and the role of this risk aversion shock on output and real money balances in the Eurozone. Our analysis suggests that risk aversion was a more important component of output and real money balance dynamics between 2006 and 2011 than it had been between 1971 and 2006, at least in the short run.

Suggested Citation

  • Jonathan Benchimol, 2012. "Risk Aversion in the Euro area," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00713669, HAL.
  • Handle: RePEc:hal:cesptp:hal-00713669
    Note: View the original document on HAL open archive server: https://hal-paris1.archives-ouvertes.fr/hal-00713669v2
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    References listed on IDEAS

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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Money and DSGE models – a few good papers
      by Lars Christensen in The Market Monetarist on 2013-10-02 11:51:46

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    Cited by:

    1. Benchimol, Jonathan, 2016. "Money and monetary policy in Israel during the last decade," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 103-124.
    2. 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.

    More about this item

    Keywords

    Risk aversion; Output; Money; Euro area; New Keynesian DSGE models; Bayesian estimation;

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