Benigno, Gianluca; Benigno, Pierpaolo; Nisticò, Salvatore - In: Journal of Economic Dynamics and Control 37 (2013) 7, pp. 1231-1247
models in which the exogenous state variables follow conditionally linear stochastic processes displaying time-varying risk …. The first-order approximation is consistent with a conditionally linear model in which risk is still time-varying but has … second-order approximation of the solution, instead, is sufficient to get this role. Moreover, risk premia, evaluated using …