On the effects of rare disasters and uncertainty shocks for risk premia in non-linear DSGE models

This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé and Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and GARC...

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Bibliographic Details
Published in:	Review of economic dynamics 2012-07, Vol.15 (3), p.295-316
Main Author:	Andreasen, Martin M.
Format:	Article
Language:	English
Subjects:	Disasters Dynamisches Gleichgewicht Economic equilibrium models Economic models Epstein–Zin–Weil preferences GARCH GARCH models Keynesian theory Neoklassische Synthese Productivity Produktivität Rare disasters Risikoprämie Risk Risk premia Risk premiums Schock Stochastic processes Stochastic volatility Studies Theorie Total factor productivity Uncertainty Volatility
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