Replication data for: Risk Matters: The Real Effects of Volatility Shocks: Comment

Name: Replication data for: Risk Matters: The Real Effects of Volatility Shocks: Comment
Published: Mon Dec 01 00:00:00 EST 2014
License: This work is licensed under an Other license created by the data depositor. Please refer to the LICENSE file, which should be located alongside the project data and documentation.
Keywords: DSGE model

Name	File Type	Size	Last Modified
Born_Pfeifer_2014_replication_codes			10/19/2021 02:13:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 05:27:PM

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: 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: DSGE model

JEL Classification:
      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: Argentina

Data Type(s): program source code

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V1 [2019-10-11]

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