Risk Shocks

Lawrence Christiano, Roberto Motto and Massimo Rostagno (massimo.rostagno@ecb.int)

No 18682, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We augment a standard monetary DSGE model to include a Bernanke-Gertler-Gilchrist financial accelerator mechanism. We fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We refer to this measure of volatility as 'risk'. We find that fluctuations in risk are the most important shock driving the business cycle.

JEL-codes: E2 E3 E44 (search for similar items in EconPapers)
Date: 2013-01
New Economics Papers: this item is included in nep-ban, nep-dge, nep-mac and nep-mon
Note: EFG
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Published as Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1): 27-65.

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