E-viri
PDF
Recenzirano
Odprti dostop
-
Justiniano, Alejandro; Primiceri, Giorgio E.
The American economic review, 06/2008, Letnik: 98, Številka: 3Journal Article
We investigate the sources of the important shifts in the volatility of US 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 shocks specific to the equilibrium condition of investment account for most of the sharp decline in volatility of the last two decades.
