01753cas a2200253 a 4500 AALejournalIMF001575 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451842180 1018-5941 BD-DhAAL BD-DhAAL Pommeret, Aude. Recursive Utility, Endogenous Growth, and the Welfare Cost of Volatility / Aude Pommeret, Anne Epaulard. Washington, D.C. : International Monetary Fund, 2001. 1 online resource (23 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper proposes a measure of the welfare cost of volatitliy derived from an endogenous growth model (AK) under uncertainty extended to the case of a recursive utility function which disentangles risk aversion from intertemporal elasticity of substitution. It encompasses a direct welfare cost of fluctuations and a welfare cost due to the endogeneity of the consumption. The total welfare cost of volatility increases with both the risk aversion and the intertemporal elasticity of substitution. For plausible values of the agent's preference parameters, the cost of volatility may be greater than measures bases on an exogenous process for consumption. Mode of access: Internet Epaulard, Anne. IMF Working Papers; Working Paper ; No. 2001/005 Full text available on IMF http://elibrary.imf.org/view/journals/001/2001/005/001.2001.issue-005-en.xml IMF e-Library