Risk Shocks

被引：727
|
作者：
Christiano, Lawrence J. [1 ]
Motto, Roberto [2 ]
Rostagno, Massimo [2 ]
机构：
[1] Northwestern Univ, Dept Econ, Evanston, IL 60208 USA
[2] European Cent Bank, D-60311 Frankfurt, Germany
来源：
AMERICAN ECONOMIC REVIEW | 2014年 / 104卷 / 01期
关键词：
BUSINESS CYCLES; AGENCY COSTS; LABOR-MARKET; NET WORTH; FLUCTUATIONS; IMPACT;
D O I：
10.1257/aer.104.1.27
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：27 / 65
页数：39
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