Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
967172 | Journal of Monetary Economics | 2012 | 13 Pages |
Abstract
⺠Stochastic volatility and model uncertainty interact to imply animal spirits. ⺠Animal spirits induce business cycle fluctuations in response to volatility shocks. ⺠Robust Control is used to characterize the agent's aversion to model uncertainty. ⺠Perturbation and Monte Carlo methods are used to capture worst case distributions. ⺠Fluctuations in animal spirits are quantitatively relevant for macro volatility.
Related Topics
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Economics and Econometrics
Authors
R.M. Bidder, M.E. Smith,