Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/323256 
Year of Publication: 
2014
Citation: 
[Journal:] Research in Economics [ISSN:] 1090-9451 [Volume:] 68 [Issue:] 1 [Publisher:] Elsevier [Place:] Amsterdam [Year:] 2014 [Pages:] 39-56
Publisher: 
Elsevier, Amsterdam
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 from 1971 through 2011, each lasting for 20 years, to follow over time the dynamics of several parameters such as the risk aversion parameter; the Taylor rule coefficients; and the role of the risk aversion shock in output, inflation, interest rate, 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 was between 1971 and 2006, at least in the short run.
Subjects: 
Risk aversion shock
Output
Money
Eurozone
New Keynesian model
DSGE models
Bayesian estimation
Euro area
Role of money
JEL: 
E23
E31
E51
D81
E44
E59
Published Version’s DOI: 
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)
Appears in Collections:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.