Risk-sensitive real business cycles☆

By Thomas D. Tallarini. 2000

661 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c6eca0f1d949ecd54a603ef4783b6ca5051208c2

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Citations in the corpus

Innovation, Growth, and Asset Prices (2013, positive): “Tallarini (2000) considers the separate effects of risk and risk aversion on quantities with recursive preferences, while we investigate how risk and risk premia affect growth.”
Toward a Quantitative General Equilibrium Asset Pricing Model with Intangible Capital (2013, background): “We know from Tallarini (2000) that the risk aversion parameter of the recursive preference has little effect on the quantity dynamics.”
Fragile beliefs and the price of uncertainty (2010, background): “…uncertainty, we exploit substantially more of the hidden state structure than did earlier researchers, for example, Detemple (1986), David (1997), Veronesi (2000), Brennan and Xia (2001), Ai (2006), and Croce et al. (2006),8 who use learning about a hidden state simply to generate an exogenous…”
Wanting robustness in macroeconomics (2010, background): “…identical with those rules that come from risk-sensitive control problems with correctly specified models.39 Hansen, Sargent, and Tallarini (1999), Tallarini (2000), Cagetti, Hansen, Sargent, and Williams (2002) show that in a class of stochastic growth models the effects of a preference for…”
Euler equations and money market interest rates: A challenge for monetary policy models (2007, methodology): “These preferences, suggested by Tallarini (2000), follow Epstein and Zin (1989, 1991) and Weil (1990) but set the intertemporal elasticity of substitution equal to one.”
Fiscal Policies and Asset Prices (2012, positive): “We link welfare costs to risk premia in asset markets similarly to Tallarini (2000), Alvarez and Jermann (2004), and Croce (2006).”
Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence (2012, neutral): “This value is roughly an order of magnitude lower than the value needed in a model without long-run risks (Mehra and Prescott, 1985; Tallarini, 2000).”