Dorofeenko, Victor; Lee, Gabriel; Salyer, Kevin; … - In: Studies in Nonlinear Dynamics & Econometrics 24 (2019) 2
Abstract Within the context of a financial accelerator model, we model time-varying uncertainty (i.e. risk shocks … of both types is time-varying. We show that this modeling feature implies that the aggregate distribution of productivity … shocks is non-normal and has time varying kurtosis and skewness; both of these features have important effects on equilibrium …