Justiniano, Alejandro; Primiceri, Giorgio E. - In: American Economic Review 98 (2008) 3, pp. 604-41
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...