Federal Reserve Board
20th Street and Constitution Avenue, NW,
Washington, DC 20551
Institutional Affiliation: Federal Reserve Board
Information about this author at RePEc
NBER Working Papers and Publications
|March 2016||The Macroeconomic Impact of Financial and Uncertainty Shocks|
with Cristina Fuentes-Albero, Simon Gilchrist, Egon Zakrajšek: w22058
The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically distinguishing between these two types of shocks, however, is difficult because increases in economic uncertainty are strongly associated with a widening of credit spreads, an indication of a tightening in financial conditions. This paper uses the penalty function approach within the SVAR framework to examine the interaction between financial conditions and economic uncertainty and to trace out the impact of these two types of shocks on the economy. The results indicate that (1) financial shocks have a...
Published: Dario Caldara & Cristina Fuentes-Albero & Simon Gilchrist & Egon Zakrajšek, 2016. "The macroeconomic impact of financial and uncertainty shocks," European Economic Review, vol (). citation courtesy of
|June 2009||Computing DSGE Models with Recursive Preferences|
with Jesús Fernández-Villaverde, Juan F. Rubio-Ramírez, Wen Yao: w15026
This paper compares different solution methods for computing the equilibrium of dynamic stochastic general equilibrium (DSGE) models with recursive preferences such as those in Epstein and Zin (1989 and 1991). Models with these preferences have recently become popular, but we know little about the best ways to implement them numerically. To fill this gap, we solve the stochastic neoclassical growth model with recursive preferences using four different approaches: second- and third-order perturbation, Chebyshev polynomials, and value function iteration. We document the performance of the methods in terms of computing time, implementation complexity, and accuracy. Our main finding is that a third-order perturbation is competitive in terms of accuracy with Chebyshev polynomials and value func...
Published: Review of Economic Dynamics Volume 15, Issue 2, April 2012, Pages 188–206 Cover image Computing DSGE models with recursive preferences and stochastic volatility ☆ Dario Caldaraa, E-mail the corresponding author, Jesús Fernández-Villaverdeb, c, d, e, Corresponding author contact information, E-mail the corresponding author, Juan F. Rubio-Ramírezf, g, e, E-mail the corresponding author, Wen