The Time-Varying Volatility of Macroeconomic Fluctuations

Alejandro Justiniano and Giorgio Primiceri

American Economic Review, 2008, vol. 98, issue 3, 604-41

Abstract: 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.

JEL-codes: E13 E32 (search for similar items in EconPapers)
Date: 2008
Note: DOI: 10.1257/aer.98.3.604
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Citations: View citations in EconPapers (637)

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Related works:
Working Paper: The Time Varying Volatility of Macroeconomic Fluctuations (2006)
Working Paper: The Time Varying Volatility of Macroeconomic Fluctuations (2006)
Working Paper: The Time Varying Volatility of Macroeconomic Fluctuations (2006)
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