The time-varying volatility of macroeconomic fluctuations
The time-varying volatility of macroeconomic fluctuations
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DOI：
10.1257/aer.98.3.604
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发表时间：
2008-06-01
影响因子：
10.7
通讯作者：
Primiceri, Giorgio E.
中科院分区：
文献类型：
--
作者：
Justiniano, Alejandro;Primiceri, Giorgio E.
我们调查了战后美国宏观经济变量波动的重要变化的来源。为此，我们提出了考虑结构创新波动率随时间变化的动态随机一般均衡模型的估计。我们将我们的估计策略应用于一个大规模的商业周期模型，发现特定于投资均衡条件的冲击是过去20年波动性急剧下降的主要原因。
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.