The Time-Varying Volatility of Macroeconomic Fluctuations

By Alejandro Justiniano, Giorgio E. Primiceri. 2006

943 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ee0b2a8d33c74d87d0a2e2f8f12fc4abf72613cf

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In Economics and Econometrics

Citations in the corpus

Safety, Liquidity, and the Natural Rate of Interest (2017, methodology): “See for instance Justiniano et al. (2013) for detailed definitions. (14)Taylor and Wieland (2016) offer a critique of r* estimates based on Phillip curves and IS equations.”
DSGE Models with Student-t Errors (2014, background): “(2005), Smets and Wouters (2003, 2007), Justiniano and Primiceri (2008), Fernandez-Villaverde and Rubio-Ramirez (2005), Sims, Waggoner and Zha (2008) and Chib and Ramamurthy (2010).”
Regime switches, Agents’ Beliefs, and Post-World War II U.S. Macroeconomic Dynamics (2013, positive): “(8)Observation errors turn out to be important only for ination, consistently with the ndings of Justiniano and Primiceri (2009), whereas they are virtually zero for the FFR and output.”
Monetary/Fiscal Policy Mix and Agents’ Beliefs (2017, neutral): “Justiniano and Primiceri (2008) allow for heteroskedasticity, while Schorfheide (2005), Liu et al. (2011), Bianchi (2013), Davig and Doh (2014), Fernandez-Villaverde et al. (2010), and Baele et al. (2015) also model changes in the parameters of the Taylor rule or the inflation target.”
Monetary Policy Shifts and the Term Structure (2011, background): “Section 3.5 explores the price of risk of Fed policy shifts.”
Financial Factors in Economic Fluctuations (2010, neutral): “∆(N/P ) 2 0 0 0 0 0 0 16 0 2 0 6 11 3 4 5 7 8 9 9 9 0 2 0 0 3 (3) (0) (—) (0) (—) (0) (0) (22) (0) (1) (0) (5) (12) (3) (4) (5) (6) (7) (8) (8) (8) (0) (3) (0) (—) (3) π 41 2 0 0 0 1 1 2 0 0 16 5 0 1 1 1 0 0 0 0 0 11 13 3 0 0 (40) (2) (—) (0) (—) (1) (1) (4) (0) (0) (17) (3) (0) (1) (1) (0) (0) (0) ”
Investment Shocks and Asset Prices (2011, neutral): “Second, I chose an intermediate value of percent based onj p 10Z,I the findings of Justiniano and Primiceri (2008) and Justiniano et al. (2010).5 Finally, I choose a high value percent to match thej p 20Z,I volatility of investment growth and of the relative returns of investment and consumption…”
Why have business cycle fluctuations become less volatile? (2006, neutral): “2 Other analyses of changes in volatility within a fully articulated model include Posch and Waelde (2005), and Justiano and Primiceri (2005). Both analyses differ considerably from this analysis.”
Long-Run Productivity Risk: A New Hope for Production-Based Asset Pricing? (2014, positive): “Several recent papers have documented a reduction in the volatility646 of aggregate variables (for example, Lettau et al. 2006, Fernandez-Villaverde and Rubio-Ramirez647 2006, and Justiniano and Primiceri 2008).”