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 |
|---|---|---|---|
| dynare_code | 10/11/2019 09:31:PM | ||
| figure1 | 10/11/2019 09:31:PM | ||
| figure2 | 10/11/2019 09:31:PM | ||
| figure3 | 10/11/2019 09:31:PM | ||
| figure4 | 10/11/2019 09:31:PM | ||
| figure5 | 10/11/2019 09:31:PM | ||
| figure7 | 10/11/2019 09:31:PM | ||
| figure8 | 10/11/2019 09:31:PM | ||
| readme | 10/11/2019 09:31:PM | ||
| table2 | 10/11/2019 09:31:PM |
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Project Description
Summary:
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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:
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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
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
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