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Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data

Author

Listed:
  • Juan Rubio-Ramirez

    (Duke University)

  • Jesus Fernandez-Villaverde

    (University of Pennsylvania)

  • Pablo A. Guerron-Quintana

    (Philadelphia Federal Reserve Bank)

Abstract

policy rules during Volckers tenure as Chairman of the Fed. At the same time, we document how good volatility shocks played an important role in the great performance of the economy during the 1990s.

Suggested Citation

  • Juan Rubio-Ramirez & Jesus Fernandez-Villaverde & Pablo A. Guerron-Quintana, 2010. "Fortune or Virtue: Time Variant Volatilities versus Parameter Drifting in U.S. Data," 2010 Meeting Papers 270, Society for Economic Dynamics.
    • Handle: RePEc:red:sed010:270
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    References listed on IDEAS

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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)

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