The Time Varying Volatility of Macroeconomic Fluctuations

Alejandro Justiniano · Giorgio E. Primiceri

131 citations0/0 files storedNational Bureau of Economic Research

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Monetary Policy and Economic Impact Market Dynamics and Volatility Economic theories and models

Abstract

In this paper we investigate the sources of the important shifts in the volatility of U.S. 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 investment specific technology shocks account for most of the sharp decline in volatility of the last two decades.

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References

1983Staggered prices in a utility-maximizing framework 1998The Financial Accelerator in a Quantitative Business Cycle Framework 2005Time Varying Structural Vector Autoregressions and Monetary Policy 2005House Prices, Borrowing Constraints, and Monetary Policy in the Business Cycle 2000Optimal monetary policy with staggered wage and price contracts 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models 2005Drifts and volatilities: monetary policies and outcomes in the post WWII US 2006Were There Regime Switches in U.S. Monetary Policy?

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