Can shocks to the discount factor explain business cycle fluctuations in Bulgaria (1999–2018)?
| Autor: | Aleksandar Vasilev |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Discounting
bulgaria lcsh:Economic theory. Demography L130 Macroeconomics lcsh:HD72-88 lcsh:Economic growth development planning lcsh:HB1-3840 Currency board business cycles Stochastic discount factor stochastic discount factor L100 Economics ddc:330 Econometrics Business cycle Economics Volatility (finance) Bulgaria Government sector |
| Zdroj: | National Accounting Review, Vol 2, Iss 3, Pp 285-296 (2020) |
| ISSN: | 2689-3010 |
| DOI: | 10.3934/NAR.2020016/fulltext.html |
| Popis: | A stochastic discount factor is introduced into a real-business-cycle setup with a government sector. The model is calibrated to Bulgarian data for the period 1999–2018, which is after the introduction of the currency board arrangement. The quantitative importance of shocks to the discount factor is investigated for the propagation of cyclical fluctuations in Bulgaria. In particular, allowing for a stochastic discount factor in the setup improves the model fit vis-a-vis data by increasing variability of employment and wages. However, those improvements are at the cost of increasing the volatility of consumption and investment. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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