Title of article
Robustanimalspirits
Author/Authors
R.M. Bidder، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
13
From page
738
To page
750
Abstract
In arealbusinesscyclemodel,anagent’sfearofmodelmisspecificationinteractswith
stochasticvolatilitytoinducetimevaryingworstcasescenarios.Thesetimevaryingworst
casescenarioscaptureanotionofanimalspiritswheretheprobabilitydistributionsusedto
evaluatedecisionrulesandpriceassetsdonotnecessarilyreflectthefundamental
characteristics oftheeconomy.Householdsentertainapessimisticviewoftheworldand
theirpessimismvarieswiththeoveralllevelofvolatilityintheeconomy,implyingan
amplificationoftheeffectsofvolatilityshocks.ByusingperturbationmethodsandMonte
Carlotechniquesweextendtheclassofmodelsanalyzedwithrobustcontrolmethodsto
includethesortofnonlinearproduction-basedDSGEmodelsthatarepopularinacademic
researchandpolicymakingpractice
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846554
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