Series: IMF Working Papers
Author(s): Aude Pommeret , and Anne Epaulard
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 January 2001
Keywords: Welfare Cost of Fluctuations, Recursive Utility, Endogenous Growth, Risk, elasticity of substitution, growth rate, business cycles, growth model, Macroeconomic Policy, Macroeconomic Aspects of Public Finance
This paper proposes a measure of the welfare cost of volatitliy derived from an endogenous growth model (AK) under uncertainty extended to the case of a recursive utility function which disentangles risk aversion f...