in the volatility of credit spreads is driven by an easier access to credit, while a higher exposure to financial risk …

the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …

The Great Moderation in the U.S. economy was accompanied by a widespread increase in the volatility of financial … volatility slowdown in real and nominal variables and in shaping the transmission mechanism of financial shocks. Our model … accounts for the increase in the volatility of financial variables through larger financial shocks, but the vulnerability of …

behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …