We estimate a DSGE model where rare large shocks can occur, but replace the commonly used Gaussian assumption with a … allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

general equilibrium (DSGE) model. We provide full-information Bayesian estimation of the DSGE model using macroeconomic … variables and extract the time-series of four latent fundamental shocks of the model: neutral technology shock, investment …-specific technological shock, monetary policy shock, and risk shock. Asset pricing tests show that our model-implied four-factor model can …

subsequent recovery in the US. The Great Recession was mainly caused by a large demand shock and by the ZLB on the interest rate …

-economy DSGE model with monetary and fiscal policy as well as financial markets in a continuous-time framework based on stochastic … country where the financial shock originates is no longer as easy and, in terms of prices, there is now deflation in the …