3 edition of **time varying volatility of macroeconomic fluctuations** found in the catalog.

time varying volatility of macroeconomic fluctuations

Alejandro Justiniano

- 68 Want to read
- 17 Currently reading

Published
**2006**
by National Bureau of Economic Research in Cambridge, Mass
.

Written in English

- Macroeconomics -- Mathematical models

**Edition Notes**

Statement | Alejandro Justiniano, Giorgio E. Primiceri. |

Series | NBER working paper paper series -- no. 12022., Working paper series (National Bureau of Economic Research) -- working paper no. 12022. |

Contributions | Primiceri, Giorgio E., 1974-, National Bureau of Economic Research. |

The Physical Object | |
---|---|

Pagination | 32, [16] p. : |

Number of Pages | 32 |

ID Numbers | |

Open Library | OL17628874M |

OCLC/WorldCa | 64428383 |

In this study, Panel Vector Autoregression (PVAR) models are used to determine the impacts of exchange rate volatility on industrial production growth rate, consumer price inflation, short-term interest rates and stock returns for 10 OECD countries. The variance decompositions (VDCs) found that exchange rate volatility can be a secondary factor for the variations in immediate interest rates. The Time Varying Volatility of Macroeconomic Fluctuations. 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.

THE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS 3 ()) and, more generally, on partial non-Gaussian state-space models (Shephard ()). Drawing from this literature, we develop an e¢ cient algorithm, based on Bayesian Markov chain Monte Carlo (MCMC) methods, for the numerical evalu-ation of the posterior of the parameters of. We test for a change in the volatility of U.S. macroeconomic time series over the period – We find that approximately 80% of these series have experienced a break in unconditional volatility during this period.

volatility (USV) models which separates volatility from yield factors.1 Creal and Wu() showed that USV models do improve the t of volatility, but restrict the cross-sectional t of yields at the same time. More importantly, the existing literature on USV models typically stops at one volatility factor. The Time-Varying Volatility of Macroeconomic Fluctuations By Alejandro Justiniano and Giorgio E. Primiceri* We investigate the sources of the important shifts in the volatility of US mac? roeconomic variables in the postwar period. To this end, we propose the esti? mation of DSGE models allowing for time variation in the volatility of the.

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THE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS 5 where N indicates the normal distribution, I n denotes an n n identity matrix and t is a diagonal matrix with the n 1 vector ˙ t of time varying standard deviations on the main diagonal. Following the stochastic volatility literature (see.

Get this from a library. The time varying volatility of macroeconomic fluctuations. [Alejandro Justiniano; Giorgio E Primiceri; National Bureau of Economic Research.]. "The Time Varying Volatility of Macroeconomic Fluctuations," NBER Working PapersNational Bureau of Economic Research, Inc.

Alejandro Justiniano & Northwestern University, "The Time Varying Volatility of Macroeconomic Fluctuations," Computing in Economics and FinanceSociety for Computational Economics. Summary: View help for Summary We investigate the sources of the important shifts in the volatility of US 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 shocks specific to Author: Alejandro Justiniano, Giorgio E.

Primiceri. The Time-Varying Volatility of Macroeconomic Fluctuations By Alejandro Justiniano and Giorgio E. Primiceri* We investigate the sources of the important shifts in the volatility of US mac-roeconomic variables in the postwar period. To this end, we propose the esti-mation of DSGE models allowing for time variation in the volatility of the.

The Time-Varying Volatility of Macroeconomic Fluctuations. Alejandro Justiniano and Giorgio Primiceri (). American Economic Review,vol.

98, issue 3, Abstract: We investigate the sources of the important shifts in the volatility of US macroeconomic variables in the postwar period.

To this end, we propose the estimation of DSGE models allowing for time variation in the. The Time-Varying Volatility of Macroeconomic Fluctuations Article (PDF Available) in American Economic Review 98(3) February with Reads How we measure 'reads'.

The Time Varying Volatility of Macroeconomic Fluctuations. Alejandro Justiniano and Giorgio Primiceri (). NoNBER Working Papers from National Bureau of Economic Research, Inc 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. The Time-Varying Volatility of Macroeconomic Fluctuations by Alejandro Justiniano and Giorgio E. Primiceri. Published in vol issue 3, pages of American Economic Review, JuneAbstract: We investigate the sources of the important shifts in the volatility of US macroeconomic.

THE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS 5 3. The Model We apply our method to a relatively large-scale model of the U.S. business cycle, which has been shown to –t the data nearly as well as Bayesian vector autoregres-sions (Smets and Wouters ()). The model is based on work by Christiano.

However, it allows second-moment shocks to be a source of economic fluctuations and permits the second-moment factors to respond to the level shocks.

Specifically, Benigno et al. () shows that time-varying volatility has a second-order effect on. Fig. 7 plots the estimated series for the time-varying volatility recovered with the particle filter (e h ^ t) 13 (details on the estimated values of the parameters of Eqn 1 and 2 can be found in the Appendix).

Two of the three relative peaks of the index during the eighties (the one at the beginning of and the one in ) correspond to two well-known episodes of macroeconomic turbulence.

Structural parameters are allowed to evolve over time via an observation-driven updating equation. The estimation of the resulting DSGE model can be easily performed by maximum likelihood without the need of time-consuming simulation-based methods.

An application to a DSGE model with time varying volatility for structural shocks is presented. Hall, R. (): “Macroeconomic Fluctuations and the Allocation of Time,” Journal of Labor Economics, 15(2), – rTHE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS31 Hanson.

Get this from a library. The time varying volatility of macroeconomic fluctuations. [Alejandro Justiniano; Giorgio E Primiceri; National Bureau of Economic Research.] -- 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. Time-Varying Volatility: Fluctuations in volatility over time.

Volatility is the standard deviation of returns from a financial instrument, and hence a measure of its risk. Time-varying volatility. The Time Varying Volatility of Macroeconomic Fluctuations Alejandro Justiniano, Giorgio E.

Primiceri. NBER Working Paper No. Issued in February NBER Program(s):Economic Fluctuations and Growth, Monetary Economics In this paper we investigate the sources of the important shifts in the volatility of U.S. macroeconomic variables in the postwar by: 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. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): 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. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): Abstract.

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. "The Time-Varying Volatility of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol.

98(3), pagesJune. Giorgio Primiceri & Alejandro Justiniano, " The Time Varying Volatility of Macroeconomic Fluctuations," Meeting PapersSociety for Economic Dynamics.T1 - The time-varying volatility of macroeconomic fluctuations. AU - Justiniano, Alejandro. AU - Primiceri, Giorgio E. PY - /12/1.

Y1 - /12/1. N2 - We investigate the sources of the important shifts in the volatility of US macroeconomic variables in the postwar period.while Gabaix et al.

() analyse a model of directed attention of economic agents who allocate thinking time to choose a consumption good from several alternatives.

Our study adds to this theoretical literature by providing empirical evidence directly linking the dynamics of volatility and comovement to investors’ time-varying attention.