Replication data for: Risk Shocks

Principal Investigator(s): View help for Principal Investigator(s) Lawrence J. Christiano; Roberto Motto; Massimo Rostagno

Version: View help for Version V1

Name	File Type	Size	Last Modified
cmr.mod	text/plain	10.5 KB	10/11/2019 05:31:PM
cmr_mode.mat	application/octet-stream	8.6 KB	10/11/2019 05:31:PM
cmr_mode_cee.mat	application/octet-stream	4.1 KB	10/11/2019 05:31:PM
recession_bars.m	text/plain	1.5 KB	10/11/2019 05:31:PM
recession_dates.m	text/plain	594 bytes	10/11/2019 05:31:PM

Project Description

Summary: 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.

Scope of Project

JEL Classification:
      D81 Criteria for Decision-Making under Risk and Uncertainty
      D82 Asymmetric and Private Information; Mechanism Design
      E32 Business Fluctuations; Cycles
      E44 Financial Markets and the Macroeconomy
      L26 Entrepreneurship

Related Publications

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Published Versions

V1 [2019-10-11]

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Dublin Core

DDI 2.5

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