Working Paper: NBER ID: w12022
Authors: Alejandro Justiniano; Giorgio E. Primiceri
Abstract: 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.
Keywords: No keywords provided
JEL Codes: E30; C32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Investment-specific technology shocks (E22) | volatility of output (E23) |
| Investment-specific technology shocks (E22) | volatility of investment (G11) |
| Investment-specific technology shocks (E22) | volatility of hours (J22) |
| Investment-specific technology shocks (E22) | volatility of consumption (D11) |
| Investment-specific technology shocks (E22) | standard deviation of the relative price of investment (G11) |