Econ Papers Daily / 期刊论文
下行风险的DSGE模型
A DSGE Model of Downside Risk
摘要
This paper presents a new dynamic stochastic general equilibrium (DSGE)framework based on recursive quantile preferences (quantile certainty equivalent),in which household downside risk attitudes are a model primitive. In this economy,infinitely lived households maximize the discounted value of the stream offuture τ-quantile utilities for τ ∈ (0, 1) with standard consumption and disutility oflabor. The quantile parameter τ captures the households’ downside risk attitude,independent of the elasticity of intertemporal substitution. Representative firmsare price takers, and prices are determined endogenously. We establish centralproperties of the model, including: (i) existence and uniqueness of a fixed pointfor household value functions, (ii) envelope condition, and the quantile Euler equation.We define the quantile recursive competitive equilibrium and establish itsexistence and uniqueness. We also provide an algorithm and numerically computethe quantile DSGE procedure. Lastly, we employ nonlinear impulse responsefunctions and present empirical results for the varying one-time technology shockimpulse response functions for augmented MaCurdy and KPR utility functions.We find significant heterogeneity in downside risk attitudes with the potentialfor countercyclical labor responses for a shallow shock in an otherwise frictionlessenvironment. Rates of dissipation of the shock also vary with the configuration.
中文摘要
本文提出一个基于递归分位数偏好（分位数确定性等价）的新型动态随机一般均衡（DSGE）框架，其中家庭的下行风险态度构成模型的基本要素。在该经济体中，无限期存续的家庭以标准消费和劳动负效用为条件，最大化未来τ分位数效用流（τ∈(0,1)）的折现值。分位数参数τ捕捉家庭的下行风险态度，且独立于跨期替代弹性。代表性企业为价格接受者，价格由内生决定。我们建立了模型的核心性质，包括：（i）家庭价值函数不动点的存在性与唯一性，（ii）包络条件，以及分位数欧拉方程。我们定义了分位数递归竞争均衡，并证明其存在性与唯一性。同时提供算法并对分位数DSGE程序进行数值计算。最后，我们采用非线性脉冲响应函数，针对增强型MaCurdy和KPR效用函数，呈现一次性技术冲击脉冲响应函数的实证结果。研究发现，在无摩擦环境中，浅层冲击下下行风险态度存在显著异质性，并可能引发反周期劳动响应。冲击的消散速率亦随参数配置而变化。