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

We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US … suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about … these volatility effects are driven by the coexistence of agents' fears of unemployment and concerns about the (in) ability …

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 …

equilibrium (DSGE) models with stochastic volatility. Our approach is fully Bayesian and employs an affine solution strategy that … makes estimation of large-scale DSGE models computationally feasible. We use our algorithm to estimate the US equity risk … premium in a DSGE model that includes time-preference, technology, investment, and volatility shocks. Time-preference and …

This paper analyzes the contribution of anticipated capital and labor tax shocks to business cycle volatility in an …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …

Bayesian estimation and model validation techniques applied. The model features five types of agents namely households, firms …

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 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 the authors is understanding the sources of the … issue, the authors build a medium-scale dynamic stochastic general equilibrium (DSGE) model with both stochastic volatility …