Vasilev, Aleksandar (2021) An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018). Journal of Mathematical Economics and Finance, VII (1(12)). pp. 7-22. ISSN 2458-0813
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| Item Type: | Article |
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| Item Status: | Live Archive |
Abstract
We introduce Epstein-Zin (1989, 1991) preferences into a real-business-cycle (RBC) model with government. We calibrate the model economy to Bulgarian data for the period after the currency board regime (1999-2018). We evaluate the quantitative importance of the presence of ”early resolution of uncertainty” motive for the propagation of cyclical fluctuations in Bulgaria. Allowing for Epstein-Zin preferences improves the model performance against data, and in addition this extended setup dominates the standard RBC model framework, e.g., Vasilev (2009).
| Keywords: | Business fluctuations, Epstein-Zin preferences, Bulgaria |
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| Subjects: | L Social studies > L130 Macroeconomics |
| Divisions: | Lincoln International Business School |
| ID Code: | 46981 |
| Deposited On: | 15 Dec 2021 13:18 |
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