Replication data for: Risk Matters: The Real Effects of Volatility Shocks: Comment
Principal Investigator(s): View help for Principal Investigator(s) Benjamin Born; Johannes Pfeifer
Version: View help for Version V1
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Project Citation:
Born, Benjamin, and Pfeifer, Johannes. Replication data for: Risk Matters: The Real Effects of Volatility Shocks: Comment. Nashville, TN: American Economic Association [publisher], 2014. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112720V1
Project Description
Summary:
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We show that the risk-shock business cycle model of
Fernández-Villaverde et al. (2011) must be recalibrated because
it underpredicts the targeted business cycle moments by a factor
of three once a time aggregation error is corrected. Recalibrating
the corrected model for the benchmark case of Argentina, the peak
response and the contribution of interest rate risk shocks to business
cycle volatility increase. However, the recalibrated model does
worse in capturing the business cycle properties of net exports once
an additional error in the computation of net exports is corrected.
Scope of Project
Subject Terms:
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DSGE model
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E20 Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
F32 Current Account Adjustment; Short-term Capital Movements
F43 Economic Growth of Open Economies
O11 Macroeconomic Analyses of Economic Development
E13 General Aggregative Models: Neoclassical
E20 Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy: General (includes Measurement and Data)
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
F32 Current Account Adjustment; Short-term Capital Movements
F43 Economic Growth of Open Economies
O11 Macroeconomic Analyses of Economic Development
Geographic Coverage:
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Argentina
Data Type(s):
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program source code
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