英文文献：How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models-非高斯冲击如何影响非线性DSGE模型中的风险溢价
英文文献作者：Martin M. Andreasen
英文文献摘要：
This paper studies how non-Gaussian 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 GARCH affect any risk premia in a wide class of DSGE models. To quantify these effects, we then set up a standard New Keynesian DSGE model where total factor productivity includes rare disasters, stochastic volatility, and GARCH. We ?find that rare disasters increase the mean level of the 10-year nominal term premium, whereas a key effect of stochastic volatility and GARCH is an increase in the variability of this premium.

本文研究了非高斯冲击如何影响近似为二阶和三阶的DSGE模型中的风险溢价。基于Schmitt-Grohe和Uribe(2004)的结果扩展到三阶，我们推导了罕见灾害、随机波动率和GARCH如何影响广泛的DSGE模型中的任何风险溢价的命题。为了量化这些效应，我们建立了一个标准的新凯恩斯主义DSGE模型，其中全要素生产率包括罕见灾害、随机波动和GARCH。我们发现，罕见灾害增加了10年名义期限溢价的平均水平，而随机波动率和GARCH的一个关键效应是增加了该溢价的可变性。