Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations
Principal Investigator(s): View help for Principal Investigator(s) Alejandro Justiniano; Giorgio E. Primiceri
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| newstdS | 10/12/2019 08:22:AM |
Project Description
Summary:
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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:
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E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
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