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首页> 外文期刊>Journal of Economic Dynamics and Control >How beneficial was the Great Moderation after all?
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How beneficial was the Great Moderation after all?

机译：毕竟，大节制有多有益？

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摘要

This paper computes the welfare effect of the Great Moderation, using a representative-agent consumption-based asset pricing model. The Great Moderation is modeled according to the data properties of consumption and dividend growth rates, which display a reduction of their innovation-volatility and increased persistence: the latter is a characteristic that has been largely unaddressed in the literature. The theoretical model (a long-run risk model) is calibrated to match average asset pricing variables, as well as consumption and dividend dynamics before and during the Great Moderation. The model captures the relevant features of the Great Moderation (decreased variance, increased persistence, asset prices). It predicts only a modest welfare gain from Great Moderation (0.38 percent in consumption equivalent), due mainly to the utility cost of a late uncertainty resolution.
机译：本文使用基于代表代理消费的资产定价模型来计算“大减缓”的福利效应。 “大适度”是根据消费和股息增长率的数据属性建模的，这显示了其创新波动性的降低和持久性的提高：后者是文献中未曾提及的特征。对理论模型（长期风险模型）进行了校准，以匹配平均资产定价变量以及“大温和”之前和期间的消费和股利动态。该模型捕获了“大适度”的相关特征（方差减少，持久性增加，资产价格上涨）。它预测“大节制”只会带来适度的福利增长（相当于消费的0.38％），这主要是由于后期不确定性解决方案的使用成本所致。

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