TY  - JOUR
AU  - Christiano,Lawrence
AU  - Motto,Roberto
AU  - Rostagno,Massimo
TI  - Risk Shocks
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 18682
PY  - 2013
Y2  - January 2013
UR  - http://www.nber.org/papers/w18682
L1  - http://www.nber.org/papers/w18682.pdf
N1  - Author contact info:
Lawrence Christiano
Department of Economics
Northwestern University
2001 Sheridan Road
Evanston, IL 60208
Tel: 847/491-8231
Fax: 847/491-7001
E-Mail: l-christiano@northwestern.edu

Roberto Motto
European Central Bank
Postfach 16 03 19
D-60066 Frankfurt am Main
GERMANY
E-Mail: roberto.motto@ecb.int

Massimo Rostagno
European Central Bank
Postfach 16-03-19
D-60066 Frankfurt am Main
GERMANY
E-Mail: Massimo.Rostagno@ecb.int
AB  - 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.
ER  -