The Time Varying Volatility of Macroeconomic Fluctuations

Alejandro Justiniano and Giorgio Primiceri

No 12022, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: C32 E30 (search for similar items in EconPapers)
Date: 2006-02
New Economics Papers: this item is included in nep-dge, nep-ets and nep-mac
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (51)

Published as Justiniano, Alejandro and Giorgio E. Primiceri. “The Time Varying Volatility of Macroeconomic Fluctuations.” The American Economic Review 98, 3 (June 2008): 604-641.

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Related works:
Journal Article: The Time-Varying Volatility of Macroeconomic Fluctuations (2008)
Working Paper: The Time Varying Volatility of Macroeconomic Fluctuations (2006)
Working Paper: The Time Varying Volatility of Macroeconomic Fluctuations (2006)
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