The Time-Varying Volatility of Macroeconomic Fluctuations：（时变波动的宏观经济波动）.pdfVIP

THE TIME VARYING VOLATILITY OF MACROECONOMIC FLUCTUATIONS ALEJANDRO JUSTINIANO AND GIORGIO E. PRIMICERI 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 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 Önd that investment speciÖc technology shocks account for most of the sharp decline in volatility of the last two decades. 1. Introduction It has been well documented that the volatility of output, ináation, interest rates and many other macroeconomic variables of the U.S. economy has exhibited a very high degree of time variation over the last Öfty years (see, for instance, Sims and Zha (2004) or Stock and Watson (2003a)). Perhaps, the most notorious episode of substantial volatility shift in recent U.S. economic history is the ìGreat 1 Moderation,î which corresponds to the sharp decline in the standard deviation of output as well as other macroeconomic and Önancial variables since the mid 1980s. While signiÖcant e§orts have been devoted to determine the timing of the Great Moderation (see, among others, Kim and Nelson (1999), McConnell and Perez- Quiros (2000), Stock and Watson (2002), Chauvet and Potter (2001), Herrera and Pesavento (2005)), there have been surprisingly few studies attempting to identify the structural disturbances responsible for these volatility changes. Date : First draft: July 2005. This version: January 2006.