00000nam 2200000za 4500 9.837775 CaOODSP 20221107151223 cr ||||||||||| 170606s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-20E-PDF Xu, Shaofeng. Volatility risk and economic welfare [electronic resource] / by Shaofeng Xu. [Ottawa] : Bank of Canada, 2017. ii, 29 p. : col. charts Bank of Canada staff working paper, 1701-9397 ; 2017-20 "May 2017." Includes bibliographical references (22-25). “This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. The model shows that a rise in volatility can decelerate growth in the absence of any level shocks. In contrast to level risk, which is always welfare reducing for a risk-averse household, volatility risk can increase or decrease welfare, depending on model parameters. When calibrated to U.S. data, the model finds that the welfare cost of volatility risk is largely negligible under plausible model parameterizations"--Abstract, p. ii. Includes abstract in French. gccst Economic analysis gccst Modelling Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-20 (CaOODSP)9.806221 PDF 513 KB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-20-eng.pdf