Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility
Abstract 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) m...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2022-06-01
|
| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-022-00370-5 |