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Publication year
Risk Matters: The Real Effects of Volatility Shocks: Comment
Resource type
Authors/contributors
- Born, Benjamin (Author)
- Pfeifer, Johannes (Author)
Title
Risk Matters: The Real Effects of Volatility Shocks: Comment
Abstract
We show that the risk-shock business cycle model ofFernández-Villaverde et al. (2011) must be recalibrated becauseit underpredicts the targeted business cycle moments by a factorof three once a time aggregation error is corrected. Recalibratingthe corrected model for the benchmark case of Argentina, the peakresponse and the contribution of interest rate risk shocks to businesscycle volatility increase. However, the recalibrated model doesworse in capturing the business cycle properties of net exports oncean additional error in the computation of net exports is corrected.
Publication
American Economic Review
Volume
104
Issue
12
Pages
4231-39
Date
2014-12
Citation
Born, B., & Pfeifer, J. (2014). Risk Matters: The Real Effects of Volatility Shocks: Comment. American Economic Review, 104, 4231–4239.
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