کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5067503 1372600 2008 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Loss aversion in aggregate macroeconomic time series
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Loss aversion in aggregate macroeconomic time series
چکیده انگلیسی

Prospect theory has been the focus of increasing attention in many fields of economics. However, it has scarcely been addressed in macroeconomic growth models-neither on theoretical nor on empirical grounds. In this paper we use prospect theory in a stochastic optimal growth model. Thereafter, the focus lies on linking the Euler equation obtained from a prospect theory growth model of this kind to real macroeconomic data. We will use generalized method of moments (GMM) estimation to test the implications of such a non-linear prospect utility Euler equation. Our results indicate that loss aversion can be traced in aggregate macroeconomic time series.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Economic Review - Volume 52, Issue 7, October 2008, Pages 1140-1159
نویسندگان
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