期刊名称：Discussion Paper / Département des Sciences Économiques de l'Université Catholique de Louvain
印刷版ISSN：1379-244X
出版年度：2009
卷号：1
出版社：Université catholique de Louvain
摘要：A model highlighting the endogeneity of both volatility and growth is presented.
Volatility and growth are therefore correlated but there is no causal link from volatility
to growth. This joint endogeneity is illustrated by working out the e
ects through which
economies with di
erent tax levels di
er both in their volatility and growth. Using a
continuous-time DSGE model with plausible parametric restrictions, we obtain closedform
measures of macro volatility based on cyclical components and output growth
rates. Given our results, empirical volatility-growth analysis should include controls in
the conditional variance equation. Otherwise an omitted variable bias is likely.
关键词：Tax e
ects, Volatility measures, Poisson uncertainty, Endogenous cycles
and growth, Continuous-time DSGE models
