On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models

This paper studies how rare disasters and uncertainty shocks affect risk premia in DSGE models approximated to second and third order. Based on an extension of the results in Schmitt-Grohé & Uribe (2004) to third order, we derive propositions for how rare disasters, stochastic volatility, and G...

Full description

Saved in:
Bibliographic details
Volume: 15
Main Author: Andreasen, Martin
Format: Journal Article
Language: English
Place of publication: Elsevier for the Society for Economic Dynamics 2012
published in: Review of Economic Dynamics Vol. 15; no. 3; pp. 295 - 316
Data of publication: 2012
Series: Review of Economic Dynamics
Subjects:
Online Access: available in Bonn?
Database: RePEc
RePEc IDEAS
Database information Databases - DBIS