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The Time-Varying Volatility of Macroeconomic Fluctuations
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. (JEL C51, E32)
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Cites
General methods for monitoring convergence of iterative simulations
Brooks, S. P., & Gelman, A. (1998) · Journal of Computational and Graphical Statistics · doi:10.1080/10618600.1998.10474787 · Cited by 6,045
Agency Costs, Net Worth, And Business Fluctuations
Bernanke, B., Gertler, M., Bernanke, B., & Gertler, M. (1988) · Unknown · doi:10.22004/ag.econ.292693 · Cited by 4,386
Cited by
Fiscal Volatility Shocks and Economic Activity
Fernández-Villaverde, J., Guerrón-Quintana, P., Kuester, K., & Rubio-Ramírez, J. (2015) · American Economic Review · doi:10.1257/aer.20121236 · Cited by 938
Negro, M. D., & Schorfheide, F. (2013) · Handbook of Economic Forecasting · doi:10.1016/b978-0-444-53683-9.00002-5 · Cited by 277
Monetary/Fiscal policy mix and agents' beliefs
Bianchi, F., & Ilut, C. (2017) · Review of Economic Dynamics · doi:10.1016/j.red.2017.02.011 · Cited by 259
Bianchi, F., & Melosi, L. (2017) · American Economic Review · doi:10.1257/aer.20160186 · Cited by 220
“The Cyclicality of Productivity Dispersion”
Kehrig, M. (2011) · doi:10.2139/ssrn.1787761 · Cited by 107
Metadata
- Authors
- Justiniano, A., & Primiceri, G. E.
- Venue
- American Economic Review
- Publisher
- American Economic Association
- Published
- 2008-05-01
- Volume
- 98
- Issue
- 3
- Pages
- 604-641
- ISSN
- 0002-8282 (ISSN-L)
- OpenAlex
- W2132448732
- Cited by
- 843
- References
- 2
- FWCI
- 162.79
- 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.
