TY  - JOUR
AU  - Justiniano,Alejandro
AU  - Primiceri,Giorgio E.
TI  - The Time Varying Volatility of Macroeconomic Fluctuations
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 12022
PY  - 2006
Y2  - February 2006
UR  - http://www.nber.org/papers/w12022
L1  - http://www.nber.org/papers/w12022.pdf
N1  - Author contact info:
Alejandro Justiniano
Economic Research Department
Federal Reserve Bank of Chicago
230 S. LaSalle Street
Chicago, IL 60604
Tel: 312/322-5900
E-Mail: Alejandro.Justiniano@chi.frb.org

Giorgio Primiceri
Department of Economics
Northwestern University
3218 Andersen Hall
2001 Sheridan Road
Evanston, IL 60208-2600
Tel: 847/491-5395
Fax: 847/491-7001
E-Mail: g-primiceri@northwestern.edu
AB  - 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 find that investment specific technology shocks account for most of the sharp decline in volatility of the last two decades.
ER  -