1 option
Risk Shocks / Lawrence Christiano, Roberto Motto, Massimo Rostagno.
- Format:
- Book
- Author/Creator:
- Christiano, Lawrence.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18682.
- NBER working paper series no. w18682
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- We augment a standard monetary DSGE model to include a Bernanke-Gertler-Gilchrist financial accelerator mechanism. We fit the model to US data, allowing the volatility of cross-sectional idiosyncratic uncertainty to fluctuate over time. We refer to this measure of volatility as 'risk'. We find that fluctuations in risk are the most important shock driving the business cycle.
- Notes:
- Print version record
- January 2013.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.