Risk Shocks

American Economic Review - Tập 104 Số 1 - Trang 27-65 - 2014
Lawrence J. Christiano1, Roberto Motto2, Massimo Rostagno2
1Department of Economics, Northwestern University, 2001 Sheridan Road, Evanston, IL 60208 (e-mail: )
2European Central Bank, Kaiserstrasse 29 60311 Frankfurt am Main, Germany (e-mail: )

Tóm tắt

We augment a standard monetary dynamic general equilibrium 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. (JEL D81, D82, E32, E44, L26)

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Tài liệu tham khảo

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Thông tin xuất bản

American Economic Review

Tập 104 Số 1

27-65

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