The time-varying volatility of macroeconomic fluctuations

被引：371

作者：

Justiniano, Alejandro ^{[1
]}

Primiceri, Giorgio E. ^{[2
,3
]}

机构：

[1] Fed Reserve Bank Chicago, Chicago, IL 60604 USA

[2] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA

[3] NBER, Cambridge, MA 02138 USA

来源：

AMERICAN ECONOMIC REVIEW | 2008年 / 98卷 / 03期

关键词：

D O I：

10.1257/aer.98.3.604

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：604 / 641

页数：38

共 81 条

[41] The information in the high-yield bond spread for the business cycle: Evidence and some implications [J].