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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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    Cited by:

    1. Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
    2. Benigno, Gianluca & Benigno, Pierpaolo & Nisticò, Salvatore, 2013. "Second-order approximation of dynamic models with time-varying risk," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1231-1247.
    3. repec:eee:ecolet:v:167:y:2018:i:c:p:142-146 is not listed on IDEAS
    4. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    5. Baele, Lieven & Bekaert, Geert & Cho, Seonghoon & Inghelbrecht, Koen & Moreno, Antonio, 2015. "Macroeconomic regimes," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 51-71.
    6. Bikbov, Ruslan & Chernov, Mikhail, 2013. "Monetary policy regimes and the term structure of interest rates," Journal of Econometrics, Elsevier, vol. 174(1), pages 27-43.
    7. Bidder, R.M. & Smith, M.E., 2012. "Robust animal spirits," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 738-750.
    8. Steffen R. Henzel & Malte Rengel, 2017. "Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
    9. Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco, 2010. "Macroeconomics and Volatility: Data, Models, and Estimation," CEPR Discussion Papers 8169, C.E.P.R. Discussion Papers.
    10. Bianchi, Francesco, 2016. "Methods for measuring expectations and uncertainty in Markov-switching models," Journal of Econometrics, Elsevier, vol. 190(1), pages 79-99.
    11. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(02), pages 363-393, March.
    12. Müller, Ulrich K., 2012. "Measuring prior sensitivity and prior informativeness in large Bayesian models," Journal of Monetary Economics, Elsevier, vol. 59(6), pages 581-597.
    13. Dario Caldara & Jesus Fernandez-Villaverde & Juan Rubio-Ramirez & Wen Yao, 2012. "Computing DSGE Models with Recursive Preferences and Stochastic Volatility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(2), pages 188-206, April.
    14. repec:eee:jmacro:v:55:y:2018:i:c:p:117-127 is not listed on IDEAS
    15. Hatcher, Michael, 2011. "Time-varying volatility, precautionary saving and monetary policy," Bank of England working papers 440, Bank of England.
    16. Lafuente, Juan A. & Pérez, Rafaela & Ruiz, Jesús, 2014. "Time-varying inflation targeting after the nineties," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 400-408.
    17. Lee, Junghoon, 2016. "The impact of idiosyncratic uncertainty when investment opportunities are endogenous," Journal of Economic Dynamics and Control, Elsevier, vol. 65(C), pages 105-124.
    18. Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-20, May.
    19. Fasani, Stefano & Rossi, Lorenza, 2018. "Are uncertainty shocks aggregate demand shocks?," Economics Letters, Elsevier, vol. 167(C), pages 142-146.
    20. Jesús Fernández-Villaverde & Pablo Guerrón-Quintana & Juan F. Rubio-Ramírez, 2010. "Reading the recent monetary history of the United States, 1959-2007," Review, Federal Reserve Bank of St. Louis, issue May, pages 311-338.
    21. Guido Ascari & Paolo Bonomolo & Hedibert F. Lopes, 2016. "Rational Sunspots," Economics Series Working Papers 787, University of Oxford, Department of Economics.
    22. Lakdawala, Aeimit, 2016. "Changes in Federal Reserve preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 124-143.
    23. Anh Nguyen, 2015. "Financial frictions and the volatility of monetary policy in a DSGE model," Working Papers 75949436, Lancaster University Management School, Economics Department.
    24. Tae Bong Kim, 2013. "Monetary Policy in Korea through the lense of Taylor Rule in DSGE model," 2013 Meeting Papers 746, Society for Economic Dynamics.
    25. Bidder, Rhys, 2015. "Animal spirits and business cycles," FRBSF Economic Letter, Federal Reserve Bank of San Francisco.

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    JEL classification:

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

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