Level and volatility factors in macroeconomic data

• 成果类型: Article; Proceedings Paper
• 署名作者: Gorodnichenko, Yuriy; Ng, Serena
• 署名单位: University of California System; University of California Berkeley; Columbia University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2017.09.004
• 发表日期: 2017
• 页码: 52-68
• 关键词: volatility; Business cycle fluctuations; Common factors; Robust principal components

摘要

Macroeconomic models typically focus on innovations in the level of fundamentals as driver of business cycles because modeling of volatility can be demanding. This paper suggests a simple methodology that can separate the level from the volatility factors without directly estimating the volatility processes. This is made possible by exploiting features in the second order approximation of equilibrium models and using information in a large panel of data to estimate the factors. Augmenting the factors to a VAR shed light on the effects of the level and volatility shocks and their relative importance. (C) 2017 Elsevier B.V. All rights reserved.