The time-varying volatility of macroeconomic fluctuations

• 成果类型: Article
• 署名作者: Justiniano, Alejandro; Primiceri, Giorgio E.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago; Northwestern University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.98.3.604
• 发表日期: 2008
• 页码: 604-641
• 关键词: monetary-policy; business-cycle; AGENCY COSTS; net worth; likelihood; STABILITY; decline; MODEL; indeterminacy; inference

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.