Sunspot-driven fat tails: A note

C-Tier
Journal: Economics Letters
Year: 2020
Volume: 193
Issue: C

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Empirical growth-rate distributions of major macroeconomic aggregates are typically non-Normal and exhibit fat tails. We advance the idea that indeterminacies in standard rational expectations models can qualify as a source of high-frequency extreme macroeconomic outcomes. In a univariate setup, we demonstrate the emergence of fat-tailed behavior for an endogenous variable even though structural and sunspot shocks both follow Normal distributions.

Technical Details

RePEc Handle
repec:eee:ecolet:v:193:y:2020:i:c:s0165176520302032
Journal Field
General
Author Count
2
Added to Database
2026-01-25