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- W2938897189 abstract "Abstract Within the context of a financial accelerator model, we model time-varying uncertainty (i.e. risk shocks) through the use of a mixture normal model with time variation in the weights applied to the underlying distributions characterizing entrepreneur productivity. Specifically, we model capital producers (i.e. the entrepreneurs) as either low-risk (a relatively small second moment of productivity) or high-risk (a relatively large second moment of productivity) and the fraction of both types is time-varying. We show that this modeling feature implies that the aggregate distribution of productivity shocks is non-normal and has time varying kurtosis and skewness; both of these features have important effects on equilibrium characteristics. In particular, after estimating the steady-state share and the change in the fraction of risky entrepreneurs, we show that a small change in the fraction of risky types can result in a large quantitative effect of a risk shock relative to standard models for both financial and real variables. Moreover, the bankruptcy rate and the risk premium in the economy are very sensitive to a change in the composition of entrepreneurs." @default.
- W2938897189 created "2019-04-25" @default.
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- W2938897189 date "2019-04-11" @default.
- W2938897189 modified "2023-10-03" @default.
- W2938897189 title "Risk shocks with time-varying higher moments" @default.
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- W2938897189 doi "https://doi.org/10.1515/snde-2018-0028" @default.
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