A tale of fat tails
| Autor: | Samreen Malik, Chetan Dave |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Economics and Econometrics
Series (mathematics) 05 social sciences Replicate Power law Multiplicative noise Minimum distance estimation Ask price 0502 economics and business Statistics Economics Econometrics Dynamic stochastic general equilibrium 050207 economics Constant (mathematics) Finance 050205 econometrics |
| Zdroj: | European Economic Review. 100:293-317 |
| ISSN: | 0014-2921 |
| Popis: | We document the extent to which major macroeconomic series, used to inform linear DSGE models, can be characterized by power laws whose indices we estimate via maximum likelihood. Assuming data follow a linear recursion with multiplicative noise, low estimated indices suggest fat tails. We then ask whether standard DSGE models under constant gain learning can replicate those fat tails by an appropriate increase in the estimated gain and without much change in the transmission mechanism of shocks. We find that is largely the case via implementation of a minimum distance estimation method that eschews any allegiance to distributional assumptions. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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