Second-order approximation of dynamic models with time-varying risk / Gianluca Benigno, Pierpaolo Benigno, Salvatore Nisticò.
| Author/creator | Benigno, Gianluca |
| Other author | Benigno, Pierpaolo. |
| Other author | Nisticò, Salvatore, 1974- |
| Other author | National Bureau of Economic Research. |
| Format | Electronic |
| Publication Info | Cambridge, MA : National Bureau of Economic Research, |
| Supplemental Content | Full text available from NBER Working Papers |
| Series | NBER working paper series ; working paper 16633 Working paper series (National Bureau of Economic Research : Online) ; working paper no. 16633. UNAUTHORIZED |
| Summary | "This paper provides first and second-order approximation methods for the solution of non-linear dynamic stochastic models in which the exogenous state variables follow conditionally-linear stochastic processes displaying time-varying risk. The first-order approximation is consistent with a conditionally-linear model in which risk is still time-varying but has no distinct role -- separated from the primitive stochastic disturbances -- in influencing the endogenous variables. The second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using only a first-order approximation of the solution, will be also time varying"--National Bureau of Economic Research web site. |
| General note | Title from PDF file as viewed on 4/7/2011. |
| Bibliography note | Includes bibliographical references. |
| Access restriction | Available only to authorized users. |
| Other forms | Also available in print. |
| Technical details | Mode of access: World Wide Web |
| Genre/form | Electronic books. |
| LCCN | 2011655865 |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Electronic Resources | Access Content Online | ✔ Available |