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On Modeling Risk Shocks

URN to cite this document:
urn:nbn:de:bvb:355-epub-346381
DOI to cite this document:
10.5283/epub.34638
Dorofeenko, Victor ; Lee, Gabriel ; Salyer, Kevin ; Strobel, Johannes
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Date of publication of this fulltext: 28 Sep 2016 09:17


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 (relatively small second moment for productivity) ...

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