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The Time Varying Volatility of Macroeconomic Fluctuations / Alejandro Justiniano, Giorgio E. Primiceri.
- Format:
- Book
- Author/Creator:
- Justiniano, Alejandro.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12022.
- NBER working paper series no. w12022
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- 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.
- Notes:
- Print version record
- February 2006.
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