The welfare cost of macroeconomic uncertainty in the post-war period
Autor(a) principal: | |
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Data de Publicação: | 2005 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/363 |
Resumo: | Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate Beveridge-Nelson decomposition for trends and cycles, which considers not only business-cycle uncertainty but also uncertainty from the stochastic trend in consumption. The post-WWII period is relatively quiet, with the welfare costs of uncertainty being about 0:9% of per-capita consumption. Although changing the decomposition method changed substantially initial results, the welfare cost of uncertainty is qualitatively small in the post-WWII era - about $175.00 a year per-capita in the U.S. We also computed the marginal welfare cost of macroeconomic uncertainty using this same technique. It is about twice as large as the welfare cost ñ$350.00 a year per-capita. |
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Franco Neto, Afonso Arinos de MelloIssler, João VictorGuillen, Osmani Teixeira CarvalhoEscolas::EPGEFGV2008-05-13T15:22:57Z2008-05-13T15:22:57Z2005-12-010104-8910http://hdl.handle.net/10438/363Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate Beveridge-Nelson decomposition for trends and cycles, which considers not only business-cycle uncertainty but also uncertainty from the stochastic trend in consumption. The post-WWII period is relatively quiet, with the welfare costs of uncertainty being about 0:9% of per-capita consumption. Although changing the decomposition method changed substantially initial results, the welfare cost of uncertainty is qualitatively small in the post-WWII era - about $175.00 a year per-capita in the U.S. We also computed the marginal welfare cost of macroeconomic uncertainty using this same technique. It is about twice as large as the welfare cost ñ$350.00 a year per-capita.engFundação Getulio Vargas. Escola de Pós-graduação em EconomiaEnsaios Econômicos;605Welfare costs of business cyclesBeveridge-Nelson decompositionEconomiaEconomiaCiclos econômicos - Modelos econométricosIncertezaThe welfare cost of macroeconomic uncertainty in the post-war periodinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL2005.pdfapplication/pdf208449https://repositorio.fgv.br/bitstreams/cd8aef35-2c45-4931-99a1-f329eaf531c4/downloade2532fe499bc756a242f9e53314de4d2MD51TEXT2005.pdf.txt2005.pdf.txtExtracted texttext/plain31593https://repositorio.fgv.br/bitstreams/99059643-a688-4d9b-bb44-d27a8e6dbdb2/downloadc12baf20455da55f83586b8279d3c1b7MD56THUMBNAIL2005.pdf.jpg2005.pdf.jpgGenerated Thumbnailimage/jpeg3337https://repositorio.fgv.br/bitstreams/68f867b7-10a9-451b-bb51-a01e5bd096dd/downloadf0e4a2a78602357e85c0fd7b490f2cb5MD5710438/3632023-11-09 15:48:18.799open.accessoai:repositorio.fgv.br:10438/363https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T15:48:18Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false |
dc.title.eng.fl_str_mv |
The welfare cost of macroeconomic uncertainty in the post-war period |
title |
The welfare cost of macroeconomic uncertainty in the post-war period |
spellingShingle |
The welfare cost of macroeconomic uncertainty in the post-war period Franco Neto, Afonso Arinos de Mello Welfare costs of business cycles Beveridge-Nelson decomposition Economia Economia Ciclos econômicos - Modelos econométricos Incerteza |
title_short |
The welfare cost of macroeconomic uncertainty in the post-war period |
title_full |
The welfare cost of macroeconomic uncertainty in the post-war period |
title_fullStr |
The welfare cost of macroeconomic uncertainty in the post-war period |
title_full_unstemmed |
The welfare cost of macroeconomic uncertainty in the post-war period |
title_sort |
The welfare cost of macroeconomic uncertainty in the post-war period |
author |
Franco Neto, Afonso Arinos de Mello |
author_facet |
Franco Neto, Afonso Arinos de Mello Issler, João Victor Guillen, Osmani Teixeira Carvalho |
author_role |
author |
author2 |
Issler, João Victor Guillen, Osmani Teixeira Carvalho |
author2_role |
author author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Franco Neto, Afonso Arinos de Mello Issler, João Victor Guillen, Osmani Teixeira Carvalho |
dc.subject.eng.fl_str_mv |
Welfare costs of business cycles |
topic |
Welfare costs of business cycles Beveridge-Nelson decomposition Economia Economia Ciclos econômicos - Modelos econométricos Incerteza |
dc.subject.por.fl_str_mv |
Beveridge-Nelson decomposition |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia Ciclos econômicos - Modelos econométricos Incerteza |
description |
Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate Beveridge-Nelson decomposition for trends and cycles, which considers not only business-cycle uncertainty but also uncertainty from the stochastic trend in consumption. The post-WWII period is relatively quiet, with the welfare costs of uncertainty being about 0:9% of per-capita consumption. Although changing the decomposition method changed substantially initial results, the welfare cost of uncertainty is qualitatively small in the post-WWII era - about $175.00 a year per-capita in the U.S. We also computed the marginal welfare cost of macroeconomic uncertainty using this same technique. It is about twice as large as the welfare cost ñ$350.00 a year per-capita. |
publishDate |
2005 |
dc.date.issued.fl_str_mv |
2005-12-01 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:22:57Z |
dc.date.available.fl_str_mv |
2008-05-13T15:22:57Z |
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info:eu-repo/semantics/publishedVersion |
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http://hdl.handle.net/10438/363 |
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0104-8910 |
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0104-8910 |
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http://hdl.handle.net/10438/363 |
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eng |
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Ensaios Econômicos;605 |
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openAccess |
dc.publisher.none.fl_str_mv |
Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
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Fundação Getulio Vargas. Escola de Pós-graduação em Economia |
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