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On Modeling Risk Shocks

Dorofeenko, Victor, Lee, Gabriel, Salyer, Kevin and Strobel, Johannes (2016) On Modeling Risk Shocks. Working Paper.

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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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Item type:Monograph (Working Paper)
Date:18 May 2016
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)

Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS
Projects:DFG: LE 1545/1-1
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Unknown
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Partially
Item ID:34638
Owner only: item control page

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