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Título : A DSGE model with loss aversion in consumption and leisure : an explanation for business cycles asymmetries
Autor : Gómez Muñoz, Wilman Arturo
Palabras clave : Ciclos económicos
Función de utilidad
Modelos de equilibrio general
Fecha de publicación : 2014
Editorial : Universidad del Rosario
Citación : Gómez Muñoz, W. A. (2014). A DSGE Model with loss aversion in consumption and leisure : an explanation for business cycles aymmetries. Documentos de Trabajo, (157), 1-37.
Abstract : In this chapter, an asymmetric DSGE model is built in order to account for asymmetries in business cycles. One of the most important contributions of this work is the construction of a general utility function which nests loss aversion, risk aversion and habits formation by means of a smooth transition function. The main idea behind this asymmetric utility function is that under recession the agents over-smooth consumption and leisure choices in order to prevent a huge deviation of them from the reference level of the utility; while under boom, the agents simply smooth consumption and leisure, but trying to be as far as possible from the reference level of utility. The simulations of this model by means of Perturbations Method show that it is possible to reproduce asymmetrical business cycles where recession (on shock) are stronger than booms and booms are more long-lasting than recession. One additional and unexpected result is a downward stickiness displayed by real wages. As a consequence of this, there is a more persistent fall in employment in recession than in boom. Thus, the model reproduces notonly asymmetrical business cycles but also real stickiness and hysteresis .
Aparece en las colecciones: Ciencias Sociales y Humanidades

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