Risk shocks

Lawrence J. Christiano, Roberto Motto, Massimo Rostagno*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

368 Scopus citations

Abstract

We augment a standard monetary dynamic general equilibrium model to include a Bernanke-Gertler-Gilchrist financial accelerator mechanism. We fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We refer to this measure of volatility as risk. We find that fluctuations in risk are the most important shock driving the business cycle.

Original languageEnglish (US)
Pages (from-to)27-65
Number of pages39
JournalAmerican Economic Review
Volume104
Issue number1
DOIs
StatePublished - Jan 1 2014

ASJC Scopus subject areas

  • Economics and Econometrics

Fingerprint Dive into the research topics of 'Risk shocks'. Together they form a unique fingerprint.

Cite this