This paper compares the role of stochastic volatility versus changes in monetary policy rules in accounting for the … time-varying volatility of U.S. aggregate data. Of special interest to us is understanding the sources of the great … build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility and parameter …

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

for time-varying volatility. We then feed these processes into an otherwise standard New Keynesian business cycle model … calibrated to the U.S. economy. We find that fiscal volatility shocks have an adverse effect on economic activity that is …

high volatility are followed by periods of low volatility. For instance, the turbulent 1970s were followed by the much more … tranquil times of the great moderation from 1984 to 2007. Modeling these movements in volatility is important to understand the … different mechanisms proposed in the literature to generate changes in volatility similar to the ones observed in the data …

particular, an increase in the volatility of idiosyncratic productivity shocks significantly decreases aggregate output without …

for time-varying volatility. We then feed these processes into an otherwise standard New Keynesian business cycle model … calibrated to the U.S. economy. We find that fiscal volatility shocks have an adverse effect on economic activity that is …

for time-varying volatility. We then feed these processes into an otherwise standard New Keynesian business cycle model … calibrated to the U.S. economy. We find that fiscal volatility shocks have an adverse effect on economic activity that is …

(DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991) and stochastic volatility. Models …. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences and stochastic volatility …