Year: 2006
Type: report
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 find that investment specific technology shocks account for most of the sharp decline in volatility of the last two decades.
DOI: 10.3386/w12022
Authors: Alejandro Justiniano, Giorgio Primiceri
Language: English
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2264748064