The DOI matches its Crossref record; 3 of the 3 references it cites were found in a registry or an index.
Risk Shocks
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. (JEL D81, D82, E32, E44, L26)
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Citations
Cites
Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
Christiano, L. J., Eichenbaum, M., & Evans, C. L. (2005) · Journal of Political Economy · doi:10.1086/426038 · Cited by 6,238
Self-citationOptimal contracts and competitive markets with costly state verification
Townsend, R. M. (1979) · Journal of Economic Theory · doi:10.1016/0022-0531(79)90031-0 · Cited by 3,204
Credit spreads and business cycle fluctuations
Gilchrist, S., & Zakrajšek, E. (2012) · American Economic Review · doi:10.1257/aer.102.4.1692 · Cited by 2,213
Cited by
Bloom, N. (2014) · Journal of Economic Perspectives · doi:10.1257/jep.28.2.153 · Cited by 2,027
Monetary Policy Surprises, Credit Costs, and Economic Activity
Gertler, M., & Karadi, P. (2015) · American Economic Journal: Macroeconomics · doi:10.1257/mac.20130329 · Cited by 1,455
Economic uncertainty before and during the COVID-19 pandemic
Altig, D., Baker, S., Barrero, J. M., Bloom, N., Bunn, P., Chen, S., Davis, S. J., Leather, J., Meyer, B., Mihaylov, E., et al. (2020) · Journal of Public Economics · doi:10.1016/j.jpubeco.2020.104274 · Cited by 987
The macroeconomic impact of financial and uncertainty shocks
Caldara, D., Fuentes-Albero, C., Gilchrist, S., & Zakrajšek, E. (2016) · European Economic Review · doi:10.1016/j.euroecorev.2016.02.020 · Cited by 536
Ilut, C. L., & Schneider, M. (2014) · American Economic Review · doi:10.1257/aer.104.8.2368 · Cited by 388
Metadata
- Authors
- Christiano, L. J., Motto, R., & Rostagno, M.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2014-01-01
- Volume
- 104
- Issue
- 1
- Pages
- 27-65
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W4241680058
- Cited by
- 1,209
- References
- 3
- FWCI
- 156.64
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
