Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations

Principal Investigator(s): View help for Principal Investigator(s) Alejandro Justiniano; Giorgio E. Primiceri

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Project Citation:

Justiniano, Alejandro, and Primiceri, Giorgio E. Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations. Nashville, TN: American Economic Association [publisher], 2008. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113245V1

Project Description

Summary: 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.

Scope of Project

JEL Classification:
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles

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Published Versions

V1 [2019-10-12]

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DDI 2.5

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