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

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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