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Lucas, Robert E. Jr., 2003, Macroeconomic Priorities, American Economic Review, 93(1): 1-14. Magnus, J. and Neudecker, H., 1988, “Matrix Di¤erential Calculus with Applications in Statistics and Econometrics,”New York: Wiley. Melino, A. (2010), “Measuring the cost of economic ‡uctuations with preferences that rationalize the equity premium,”Canadian Journal of Economics, Volume 43, Issue 2, pp. 405–422. Morley, James C., Charles R. Nelson, and Eric Zivot, 2003, “Why are the Beveridge-Nelson and unobserved-components decompositions of GDP so di¤erent?”The Review of Economics and Statistics, 85(2), pp. 235-243. Nelson, C.R. and Plosser, C.I.(1982), “Trends and Random Walks in Macroeconomic Time Series,”Journal of Monetary Economics, vol. 10, pp. 139-162. Obstfeld, M., 1994, “Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability,”European Economic Review, 38, 1471-1486. Otrok, C., 2001, “On Measuring the Welfare Cost of Business Cycles,” Journal of Monetary Economics, 47, 61-92. Pemberton, J., 1996, “Growth Trends,Cyclical Fluctuations,and Welfare with Non-Expected Utility Preferences,”Economic Letters, 50, 387-392. Phelps, E.S. (1967), "Phillips Curves, Expectations of In‡ation and Optimal Unemployment over Time," Economica, 34. Phelps, E.S. (1968), "Money Wage Dynamics and Labor Market Equilibrium," Journal of Political Economy, 76. Phelps, E.S. et al. (1970), “Microeconomic Foundations of Employment and In‡ation,”New York: Norton. Phillips, P.C.B. and V. Solo, 1992, “Asymptotics for linear processes,” Annals of Statistics, vol. 20, pp. 971-1001. Proietti, T., 1997, “Short-run Dynamics in Cointegrated Systems”, Oxford Bulletin of Economics and Statistics, 59 (3), 405-422. Reis, R., 2009, “The time-series properties of aggregate consumption: implications for the costs of ‡uctuations,”Journal of the European Economic Association, Vol. 7(4), pp. 722–753. Tallarini Jr., T.D., 2000, “Risk-sensitive Real Business Cycles”, Journal of Monetary Economics, 45, 507-532. 30
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Page 1 and 2: Ensaios Econômicos Escola de Pós-
Page 3 and 4: On the Welfare Costs of Business-Cy
Page 5 and 6: for macroeconomic policy to try to
Page 7 and 8: 2. The Problem In this section we d
Page 9 and 10: around zero, i.e., around observed
Page 11 and 12: one dimension vanishes, e.g., as 1
Page 13 and 14: i.e., we can think of P as the wel
Page 15 and 16: Finally, we give some intuition beh
Page 17 and 18: 3. Identi…cation and Estimation o
Page 19 and 20: [1; 0] 12 Apart from an irrelevant
Page 21 and 22: data for consumption of perishables
Page 23 and 24: Table 4.1: Estimated Parameters in
Page 25 and 26: Table 4.3: Welfare Cost of Economic
Page 27 and 28: All in all, the contrast between ou
Page 29 and 30: of economic-growth variation. This
Page 31: Hall, R.E., 1978, “Stochastic Imp
Page 35 and 36: 10.5 10.0 9.5 .08 .04 .00 9.0 8.5 8

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