In a sample of 110 countries over the period 1960-2009, we document a positive relation between the volatility and … with recent theories of financial frictions. The positive relation between volatility and skewness in the cross-section is …

The remarkable decline in macroeconomic volatility experienced by the U.S. economy since the mid-80s (the so … to identified shocks. Among other changes, our findings point to (i) an increase in the volatility of hours relative to … output, (ii) a shrinking contribution of non-technology shocks to output volatility, and (iii) a change in the cyclical …

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 … investment specific technology shocks account for most of the sharp decline in volatility of the last two decades …

Does macroeconomic volatility/uncertainty affects accumulation of net foreign assets? In OECD economies over the period … 1970-2012, changes in country specific aggregate volatility are, after controlling for a wide array of factors …, significantly positively associated with net foreign asset position. An increase in volatility (measured as the standard deviation …

volatility of economic fluctuations. In a sample of 92 countries as well as a sample of OECD countries, we find that countries … with higher volatility have lower growth. The addition of standard control variables strengthens the negative relationship …. We also find that government spending-induced volatility is negatively associated with growth even after controlling for …

-2001, the corresponding standard deviation was 1.6%. This paper investigates this large drop in the cyclical volatility OF real … volatility using a large number of U.S. economic time series and a variety of methods designed to describe time-varying time … explanations for this 'great moderation.' Taken together, we estimate that the moderation in volatility is attributable to a …

growth and volatility in developing countries. The results suggest that it is difficult to establish a robust causal …

, and show that it has significant explanatory power for the evolution of macroeconomic volatility. We define "fundamental …" volatility as the volatility that would arise from an economy made entirely of idiosyncratic microeconomic shocks, occurring … different sectors vary over time (in a way we directly measure), while the volatility of those sectors remains constant. We find …