NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Risk Shocks

Lawrence Christiano, Roberto Motto, Massimo Rostagno

NBER Working Paper No. 18682
Issued in January 2013
NBER Program(s):   EFG

We augment a standard monetary DSGE 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.

download in pdf format
   (811 K)

email paper

Supplementary materials for this paper:

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w18682

Published: Christiano, Lawrence J., Roberto Motto, and Massimo Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1): 27-65.

Users who downloaded this paper also downloaded these:
Christiano and Ikeda w18688 Leverage Restrictions in a Business Cycle Model
Christiano, Trabandt, and Walentin w16074 DSGE Models for Monetary Policy Analysis
Christiano, Ilut, Motto, and Rostagno w16402 Monetary Policy and Stock Market Booms
Christiano, Eichenbaum, and Trabandt w19265 Unemployment and Business Cycles
Christiano, Eichenbaum, and Trabandt w20040 Understanding the Great Recession
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us