Interpreting volatility shocks as preference shocks

DOI10.1016/J.ECONLET.2016.07.028MaRDI QIDQ1668653zbMATH OpenOpenAlexFDO

Authors Shaofeng Xu

Publication date 29 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/148152

zbMATH Keywords

recursive preferencestime-varying uncertaintyvolatility shocks

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites work

• A theory of the term structure of interest rates
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Impact of Uncertainty Shocks

Cited in

(6)

• Preferences with taste shock representations: price volatility and the liquidity premium
• Preference Structure and Volatility in a Financially Integrated World
• Volatility risk and economic welfare
• Uncertainty, long-run, and monetary policy risks in a two-country macro model
• Investment decisions when utility depends on wealth and other attributes
• Modeling sudden stops: the non-trivial role of preference specifications

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