The Time Varying Volatility of Macroeconomic Fluctuations

Giorgio Primiceri and Alejandro Justiniano

No 353, 2006 Meeting Papers from Society for Economic Dynamics

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 …nd that investment speci…c technology shocks account for most of the sharp decline in volatility of the last two decades

Keywords: Great Moderation; Stochastic Volatility; Investment Specific Technology Shock; Relative Price of Investment; DSGE Models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-dge and nep-mac
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Citations: View citations in EconPapers (50)

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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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Persistent link: https://EconPapers.repec.org/RePEc:red:sed006:353

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