Replication data for: Risk Shocks
- Christiano, Lawrence J.
- Motto, Roberto
- Rostagno, Massimo
AbstractWe 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.
Is supplement to
DOI: 10.1257/aer.104.1.27 (Text)
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: 2020-04-10