The Time Varying Volatility of Macroeconomic Fluctuations

In this paper we investigate the sources of the important shifts in the volatility of U.S. 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 investment specific technology shocks account for most of the sharp decline in volatility of the last two decades

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Year of publication:	[2009]
Authors:	Primiceri, Giorgio E.
Other Persons:	Justiniano, Alejandro (contributor)
Publisher:	[2009]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Bruttoinlandsprodukt \| Gross domestic product \| Wirtschaftslage \| Macroeconomic performance \| Technischer Fortschritt \| Technological change \| Wirtschaftswachstum \| Economic growth \| Allgemeines Gleichgewicht \| General equilibrium \| Konjunktur \| Business cycle

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Extent:	1 Online-Ressource (50 p)
Series:	NBER Working Paper ; No. w12022
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2006 erstellt
Source:	ECONIS - Online Catalogue of the ZBW

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