Abstract
We investigate the sources of the important shifts in the volatility of US macroeconomic variables in the postwar period. To this end, we propose the estimation of DSGE models allowing for time variation in the volatility of the structural innovations. We apply our estimation strategy to a large-scale model of the business cycle and find that shocks specific to the equilibrium condition of investment account for most of the sharp decline in volatility of the last two decades.
Original language | English (US) |
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Pages (from-to) | 604-641 |
Number of pages | 38 |
Journal | American Economic Review |
Volume | 98 |
Issue number | 3 |
DOIs | |
State | Published - 2008 |
ASJC Scopus subject areas
- Economics and Econometrics
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Dive into the research topics of 'The time-varying volatility of macroeconomic fluctuations'. Together they form a unique fingerprint.Datasets
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Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations
Justiniano, A. (Creator) & Primiceri, G. E. (Creator), ICPSR - Interuniversity Consortium for Political and Social Research, 2008
DOI: 10.3886/e113245v1, https://www.openicpsr.org/openicpsr/project/113245/version/V1/view
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