An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018)

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

Full content URL: https://journals.aserspublishing.eu/jmef/article/v...

Documents
An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018)
Accepted Manuscript
[img] PDF
epstein_zin_preferences_JMEF_Summer_2021.pdf - Whole Document
Restricted to Repository staff only

303kB
Item Type:Article
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
Subjects:L Social studies > L130 Macroeconomics
Divisions:Lincoln International Business School
ID Code:46981
Deposited On:15 Dec 2021 13:18

Repository Staff Only: item control page