Fat‐tailed DSGE models: A survey and new results
综述了动态随机一般均衡理论中关于厚尾时间序列分布的最新进展，区分了两种机制，并基于真实商业周期模型提供了新模拟证据，帮助理解产出数据的高阶特性。
Abstract We review recent advances in dynamic stochastic general equilibrium theory concerned with the emergence of fat‐tailed time‐series distributions. Focusing on mechanisms that are firmly grounded in structural equilibrium models, we provide a common reference framework to organize existing contributions according to whether they entail extreme business cycle swings as an endogenous response to small and short‐lived shocks ( “thin in, fat out” ), or rather as an automatic consequence of large and/or heteroskedastic exogenous impulses ( “fat in, fat out” ). Within the former class, non‐Gaussian features of equilibrium patterns can endogenously emerge in fully rational, Gaussian environments. Using an empirically plausible real business cycle framework, we also report novel simulation‐based evidence that helps reconcile theoretical predictions with the documented higher‐order properties of time‐series data for output measures.