Unit roots and the welfare gains of cycle smoothing
Autor(a) principal: | |
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Data de Publicação: | 1996 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12205 |
Resumo: | li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively small. A possible problem with such calculations is the dichotomy between the trend and the cyclical components of consumption. In this paper, we abandon this dichotomy in two ways. First, we decompose consumption into a deterministic trend, a stochastic trend, and a stationary cyclical component, calculating the welfare gains of cycle smoothing. Calculations are carried forward only after a careful discussion of the limitations of macroeconomic policy. Second, still under the stochastic-trend model, we incorporate a variable slope for consumption depending negatively on the overall volatility in the economy. Results are obtained for a variety of preference parameterizations, parameter values, and different macroeconomic-policy goals. They show that, once the dichotomy in the decomposition in consumption is abandoned, the welfare gains of cycle smoothing may be substantial, especially due to the volatility effect. |
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Issler, João VictorFranco Neto, Afonso Arinos de MelloEscolas::EPGEFGV2014-10-23T13:20:31Z2014-10-23T13:20:31Z1996-05-30http://hdl.handle.net/10438/12205li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively small. A possible problem with such calculations is the dichotomy between the trend and the cyclical components of consumption. In this paper, we abandon this dichotomy in two ways. First, we decompose consumption into a deterministic trend, a stochastic trend, and a stationary cyclical component, calculating the welfare gains of cycle smoothing. Calculations are carried forward only after a careful discussion of the limitations of macroeconomic policy. Second, still under the stochastic-trend model, we incorporate a variable slope for consumption depending negatively on the overall volatility in the economy. Results are obtained for a variety of preference parameterizations, parameter values, and different macroeconomic-policy goals. They show that, once the dichotomy in the decomposition in consumption is abandoned, the welfare gains of cycle smoothing may be substantial, especially due to the volatility effect.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessUnit roots and the welfare gains of cycle smoothinginfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaCiclos econômicosMacroeconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000087495.pdf000087495.pdfapplication/pdf2170592https://repositorio.fgv.br/bitstreams/b54951cd-b49a-4311-b044-edcc103a6d8b/downloadc3da2d2a8e7823818535627be44322b9MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/91eece89-fa3a-47df-90b2-7d652b0f2b76/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000087495.pdf.txt000087495.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Unit roots and the welfare gains of cycle smoothing |
title |
Unit roots and the welfare gains of cycle smoothing |
spellingShingle |
Unit roots and the welfare gains of cycle smoothing Issler, João Victor Economia Ciclos econômicos Macroeconomia |
title_short |
Unit roots and the welfare gains of cycle smoothing |
title_full |
Unit roots and the welfare gains of cycle smoothing |
title_fullStr |
Unit roots and the welfare gains of cycle smoothing |
title_full_unstemmed |
Unit roots and the welfare gains of cycle smoothing |
title_sort |
Unit roots and the welfare gains of cycle smoothing |
author |
Issler, João Victor |
author_facet |
Issler, João Victor Franco Neto, Afonso Arinos de Mello |
author_role |
author |
author2 |
Franco Neto, Afonso Arinos de Mello |
author2_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Issler, João Victor Franco Neto, Afonso Arinos de Mello |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Ciclos econômicos Macroeconomia |
dc.subject.bibliodata.por.fl_str_mv |
Ciclos econômicos Macroeconomia |
description |
li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively small. A possible problem with such calculations is the dichotomy between the trend and the cyclical components of consumption. In this paper, we abandon this dichotomy in two ways. First, we decompose consumption into a deterministic trend, a stochastic trend, and a stationary cyclical component, calculating the welfare gains of cycle smoothing. Calculations are carried forward only after a careful discussion of the limitations of macroeconomic policy. Second, still under the stochastic-trend model, we incorporate a variable slope for consumption depending negatively on the overall volatility in the economy. Results are obtained for a variety of preference parameterizations, parameter values, and different macroeconomic-policy goals. They show that, once the dichotomy in the decomposition in consumption is abandoned, the welfare gains of cycle smoothing may be substantial, especially due to the volatility effect. |
publishDate |
1996 |
dc.date.issued.fl_str_mv |
1996-05-30 |
dc.date.accessioned.fl_str_mv |
2014-10-23T13:20:31Z |
dc.date.available.fl_str_mv |
2014-10-23T13:20:31Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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article |
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publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12205 |
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http://hdl.handle.net/10438/12205 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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FGV |
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FGV |
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