FAT-TAIL DISTRIBUTIONS AND BUSINESS-CYCLE MODELS

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Macroeconomic Policy in DSGE and Agent-Based Models (2012, unknown): “Moreover, Ascari et al. (2012) find that even assuming fat-tailed Laplace shocks, the distributions of the time series generated by DSGE models have much thinner tails than those observed in real data.”
Three green financial policies to address climate risks (2021, background): “At the macroeconomic level, growth rates and duration of recessions display fat-tailed distributions (Fagiolo et al., 2008; Ascari et al., 2015), business cycles are punctuated by deep crises (Stiglitz, 2015).”
Rare shocks, great recessions (2013, unknown): “…not Gaussian (see Christiano (2007) for pre-Great Recession evidence, and Ascari et al. (2012) for more recent work). either macro variables directly (as in Ascari et al. (2012)) or shocks can be misleading, because the evidence against Gaussianity can be due to low frequency changes in volatility.”
Estimation of ergodic agent-based models by simulated minimum distance (2015, background): “, 2008)– and DSGE models are not able to reproduce such regularities even when they are fed with shocks drawn from fat tail distributions (Ascari et al., 2014).”