Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/148152
Authors: 
Xu, Shaofeng
Year of Publication: 
2016
Series/Report no.: 
Bank of Canada Staff Working Paper 2016-45
Abstract: 
This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.
Subjects: 
Business fluctuations and cycles
Economic models
JEL: 
E2
E3
Document Type: 
Working Paper

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