The risk premium in New Keynesian DSGE models: the cost of inflation channel

DOI10.1016/j.jedc.2023.104732zbMath1526.91007OpenAlexW4386071072MaRDI QIDQ6087253

Leonardo Iania, Rafael Wouters, Pavel Tretiakov

Publication date: 15 November 2023

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2023.104732

zbMATH Keywords

macro-financeDSGEterm premia

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Dynamic stochastic general equilibrium theory (91B51)

Cites Work

• Nonlinear and stable perturbation-based approximations
• Solving dynamic general equilibrium models using a second-order approximation to the policy function
• Fifth-order perturbation solution to DSGE models
• Calculating and using second-order accurate solutions of discrete time dynamic equilibrium models
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• THE PROPAGATION OF UNCERTAINTY SHOCKS: ROTEMBERG VERSUS CALVO

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