Stochastic Volatility and DSGE Models

This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE models may not be appropriate, because the level of a process with this specification does not have conditional or unconditional moments. This is unfortunate because agents may as a result expect productivity and hence consumption to be inifinite in all future periods. This observation is followed by three ways to overcome the problem

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Year of publication:	2011
Authors:	Andreasen, Martin M.
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Dynamisches Gleichgewicht \| Dynamic equilibrium \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Theorie \| Theory \| Konjunktur \| Business cycle \| Makroökonomik \| Macroeconomics \| DSGE-Modell \| DSGE model

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Extent:	1 Online-Ressource (10 p)
Series:	CREATES Research Paper ; No. 2009-29
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 8, 2009 erstellt
Other identifiers:	10.2139/ssrn.1431370 [DOI]
Classification:	E10 - General Aggregative Models. General ; E30 - Prices, Business Fluctuations, and Cycles. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013134553