The time-varying volatility of macroeconomic fluctuations

Alejandro Justiniano*, Giorgio E. Primiceri

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

340 Scopus citations


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 languageEnglish (US)
Pages (from-to)604-641
Number of pages38
JournalAmerican Economic Review
Issue number3
StatePublished - 2008

ASJC Scopus subject areas

  • Economics and Econometrics


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