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...

This paper considers a New Keynesian DSGE model with Epstein-Zin-Weil preferences combined with real and nominal long-run risk. The model is solved up to third order and estimated on US data using the 10-year nominal yield curve, two interest rate surveys, and four macro variables. Our model...