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 …

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 …

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 …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

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

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

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 …

into the determinants of business cycles before and during the Great Moderation. Via Bayesian estimation we determine the … and they explain the volatility of many variables. We reject the hypothesis of better inventory management and improved …