Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper introduces the stochastic volatility shock that follows a thick-tailed Student’s t-distribution into a high-order approximate dynamic stochastic general equilibrium (DSGE) model with...

Descripción completa

Detalles Bibliográficos
Autores principales: Gong, Xiao-Li, Lu, Jin-Yan, Xiong, Xiong, Zhang, Wei
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2022
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9171085/
https://www.ncbi.nlm.nih.gov/pubmed/35693847
http://dx.doi.org/10.1186/s40854-022-00370-5

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9171085/
https://www.ncbi.nlm.nih.gov/pubmed/35693847
http://dx.doi.org/10.1186/s40854-022-00370-5

Ejemplares similares