American Economic Review
ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)
The Time-Varying Volatility of Macroeconomic Fluctuations
American Economic Review
vol. 98,
no. 3, June 2008
(pp. 604–41)
Abstract
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.Citation
Justiniano, Alejandro, and Giorgio E. Primiceri. 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations." American Economic Review, 98 (3): 604–41. DOI: 10.1257/aer.98.3.604Additional Materials
JEL Classification
- E13 General Aggregative Models: Neoclassical
- E32 Business Fluctuations; Cycles