American Economic Review· 2013Q1
Risk Shocks
- 1,214citations
- Q1SCImago
- 2013year
Short summary
Fluctuations in 'risk' (volatility of cross-sectional idiosyncratic uncertainty) are the most important shock driving the US business cycle, according to a monetary dynamic general equilibrium model augmented with a financial accelerator.
AI-generated from the title and abstract; the full text is not read.
Key points
- A monetary dynamic general equilibrium model was augmented with a Bernanke-Gertler-Gilchrist financial accelerator.
- The model was fitted to US data, incorporating time-varying volatility of cross-sectional idiosyncratic uncertainty ('risk').
- Fluctuations in this measure of risk were identified as the most significant shock driving the business cycle.
AI-generated from the title and abstract; the full text is not read.
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. (JEL D81, D82, E32, E44, L26)
The authors' abstract, as published at the source. American Economic Review, 2013 · DOI ↗
Continue with a free account
Ask the paper: 3 free questions a day about this paper; save it, get its citation, new summaries every day for your field. Takeaways are Premium.
Continue free on the webSign in with Google or Apple; no card needed. You come back to this paper.
On your phone:
Field: General Economics, Econometrics and Finance
General Economics, Econometrics and FinanceEconomics, Econometrics and Finance