The uncertainty of U.S. core inflation, measured by the stochastic volatility of forecast errors, has soared to a level …

Sudden and uncertain events often cause cross-contagion of risk among various sectors of the macroeconomy. This paper … introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate … uncertainty risk on macroeconomics. Then, the high-dimensional DSGE model (DSGE-SV-t) is developed to examine the impact of …