Risk Shocks
2014 ◽
Vol 104
(1)
◽
pp. 27-65
◽
Keyword(s):
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)
2021 ◽
Vol 172
◽
pp. 121010
2018 ◽
Vol 56
◽
pp. 258-275
◽
2001 ◽
Vol 23
(1)
◽
pp. 25-50
◽