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The Time Varying Volatility of Macroeconomic Fluctuations

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  • Alejandro Justiniano

    ()
    (Board of Governors of the Federal Reserve Board
    Giorgio Primiceri)

  • Northwestern University
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    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 and that investment specific technology shocks account for most of the sharp decline in volatility of the last two decades

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    File URL: http://repec.org/sce2006/up.12900.1140712961.pdf
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    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2006 with number 219.

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    Date of creation: 04 Jul 2006
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    Handle: RePEc:sce:scecfa:219

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    Related research

    Keywords: Great Moderation; Stochastic Volatility; Investment Specific Technology Shock; Relative Price of Investment; DSGE Models;

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