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American Economic Review: Vol. 98 No. 3 (June 2008)
AER Volume. 98, Issue 3 | 
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The Time-Varying Volatility of Macroeconomic Fluctuations
Article Citation
Justiniano, Alejandro, and
Giorgio E. Primiceri. 2008. "The Time-Varying Volatility of Macroeconomic Fluctuations."
American Economic Review,
98(3): 604-41.
DOI: 10.1257/aer.98.3.604
DOI: 10.1257/aer.98.3.604
Abstract
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.
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Authors
Justiniano, Alejandro (Federal Reserve Bank of Chicago)
Primiceri, Giorgio E. (Northwestern U)
Primiceri, Giorgio E. (Northwestern U)
JEL Classifications
E13: General Aggregative Models: Neoclassical
E32: Business Fluctuations; Cycles
E32: Business Fluctuations; Cycles
