This paper argues that a specification of stochastic volatility commonly used to analyze the Great Moderation in DSGE …

heterogeneous wage contract between regular and temporary workers on a macroeconomic volatility in a financially fragile economy …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

We propose a novel method to estimate dynamic equilibrium models with stochastic volatility. First, we characterize the … exploits the profusion of shocks in stochastic volatility models, is versatile and computationally tractable even in large … methods to estimate a business cycle model of the U.S. economy with both stochastic volatility and parameter drifting in …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …