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metadata language: English

Replication data for: Risk Shocks

Version
1
Resource Type
Dataset
Creator
  • Christiano, Lawrence J.
  • Motto, Roberto
  • Rostagno, Massimo
Publication Date
2014-01-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.104.1.27 (Text)
Publications
  • Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno. “Risk Shocks.” American Economic Review 104, no. 1 (January 2014): 27–65. https://doi.org/10.1257/aer.104.1.27.
    • ID: 10.1257/aer.104.1.27 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Christiano, Lawrence J.; Motto, Roberto; Rostagno, Massimo (2014): Replication data for: Risk Shocks. Version: 1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112728V1