Risk Shocks

We augment a standard monetary DSGE 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.

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Year of publication:	2013-01
Authors:	Christiano, Lawrence ; Rostagno, Massimo ; Motto, Roberto
Institutions:	National Bureau of Economic Research (NBER)

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Extent:	application/pdf
Series:	NBER Working Papers.
Type of publication:	Book / Working Paper
Notes:	EFG The price is Paper copy available by mail Number 18682
Classification:	E2 - Consumption, Saving, Production, Employment, and Investment ; E3 - Prices, Business Fluctuations, and Cycles ; E44 - Financial Markets and the Macroeconomy
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010821963