English, Article, Journal or magazine article edition: Stochastic Volatility and DSGE Models Martin M. Andreasen

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Bookmark: http://trove.nla.gov.au/version/76396
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Stochastic Volatility and DSGE Models
Author
  • Martin M. Andreasen
Physical Description
  • preprint
Notes
  • 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.
  • Great Moderation, Productivity shocks, and Time-varying coe¢ cients
  • RePEc:aah:create:2009-29
Language
  • English
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