An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018)

  • Aleksander VASILEV Lincoln International Business School, UK

Abstract




We introduce Epstein-Zin (1989, 1991) preferences into a real-business-cycle (RBC) model with government. We calibrate the model economy to Bulgarian data for the period after the currency board regime (1999-2018). We evaluate the quantitative importance of the presence of ”early resolution of uncertainty” motive for the propagation of cyclical fluctuations in Bulgaria. Allowing for Epstein-Zin preferences improves the model performance against data, and in addition this extended setup dominates the standard RBC model framework, e.g., Vasilev (2009).




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Published
2021-06-30
How to Cite
VASILEV, Aleksander. An RBC model with Epstein-Zin (non-expected-utility) recursive preferences: lessons from Bulgaria (1999-2018). Journal of Mathematical Economics and Finance, [S.l.], v. 7, n. 1, p. 7 - 22, june 2021. ISSN 2458-0813. Available at: <https://journals.aserspublishing.eu/jmef/article/view/6487>. Date accessed: 30 nov. 2021. doi: https://doi.org/10.14505/jmef.v7.1(12).01.