Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of … uncertainty risk on the transmission mechanism among macroeconomic sectors. The empirical research found that uncertainty risk …

Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy … risk. We find that, without jump ambiguity, a CRRA investor suffers negligible wealth losses from underestimating tail risk …