Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations
Principal Investigator(s): View help for Principal Investigator(s) Alejandro Justiniano; Giorgio E. Primiceri
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
|---|---|---|---|
| aer-codes | 10/12/2019 08:22:AM | ||
|
|
text/plain | 14.6 KB | 10/12/2019 04:22:AM |
Project Citation:
Justiniano, Alejandro, and Primiceri, Giorgio E. Replication data for: The Time-Varying Volatility of Macroeconomic Fluctuations. Nashville, TN: American Economic Association [publisher], 2008. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113245V1
Project Description
Summary:
View help for Summary
We investigate the sources of the important shifts in the volatility of US
macroeconomic variables in the postwar period. To this end, we propose the
estimation of DSGE models allowing for time variation in the volatility of
the structural innovations. We apply our estimation strategy to a
large-scale model of the business cycle and find that shocks specific to
the equilibrium condition of investment account for most of the sharp
decline in volatility of the last two decades.
Scope of Project
JEL Classification:
View help for JEL Classification
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
E13 General Aggregative Models: Neoclassical
E32 Business Fluctuations; Cycles
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.