Stochastic volatility and DSGE models

Martin Andreasen

Economics Letters, 2010, vol. 108, issue 1, 7-9

Abstract: This paper argues that a specification of stochastic volatility commonly used in DSGE models may not be appropriate, because the level of a process with this specification does not have any moments. We suggest three ways to overcome the problem.

Keywords: Great; Moderation; Productivity; shocks; Time-varying; coefficients (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (9)

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Working Paper: Stochastic Volatility and DSGE Models (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:108:y:2010:i:1:p:7-9

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