Risk Shocks

• 成果类型: Article
• 署名作者: Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo
• 署名单位: Northwestern University; European Central Bank
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.1.27
• 发表日期: 2014
• 页码: 27-65
• 关键词: business cycles; AGENCY COSTS; labor-market; net worth; fluctuations; IMPACT

摘要

We augment a standard monetary dynamic general equilibrium model to include a Bernanke-Gertler-Gilchrist financial accelerator mechanism. We fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We refer to this measure of volatility as risk. We find that fluctuations in risk are the most important shock driving the business cycle.