메뉴 건너뛰기




Volumn , Issue , 2011, Pages 137-183

Macroeconomics and volatility: Data, models, and estimation

Author keywords

[No Author keywords available]

Indexed keywords


EID: 84923407495     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1017/CBO9781139060035.005     Document Type: Chapter
Times cited : (30)

References (60)
  • 1
    • 78649744600 scopus 로고    scopus 로고
    • Operator Methods for Continuous-Time Markov Processes
    • Y. Aït-Sahalia and L. P.Hansen (eds.), Amsterdam North Holland
    • Aït-Sahalia, Y., L. P. Hansen, and J. A. Scheinkman (2009), "Operator Methods for Continuous-Time Markov Processes," In Y. Aït-Sahalia and L. P.Hansen (eds.), Handbook of Financial Econometrics, Amsterdam North Holland.
    • (2009) Handbook of Financial Econometrics
    • Aït-Sahalia, Y.1    Hansen, L.P.2    Scheinkman, J.A.3
  • 2
    • 34248203740 scopus 로고    scopus 로고
    • Bayesian Analysis of DSGE Models
    • An, S. and F. Schorfheide (2006), "Bayesian Analysis of DSGE Models," Econometric Reviews 26, 113-172.
    • (2006) Econometric Reviews , vol.26 , pp. 113-172
    • An, S.1    Schorfheide, F.2
  • 5
    • 80053596323 scopus 로고    scopus 로고
    • Uncertainty and Economic Activity: Evidence from Business Survey Data
    • NBER 16143
    • Bachmann, R., S. Elstner, and E. Sims (2010). "Uncertainty and Economic Activity: Evidence from Business Survey Data," NBER Working Paper 16143.
    • (2010) Working Paper
    • Bachmann, R.1    Elstner, S.2    Sims, E.3
  • 7
    • 74349127207 scopus 로고    scopus 로고
    • VAR Analysis and the Great Moderation
    • Benati, L. and P. Surico (2009), "VAR Analysis and the Great Moderation," American Economic Review 99, 1636-1652.
    • (2009) American Economic Review , vol.99 , pp. 1636-1652
    • Benati, L.1    Surico, P.2
  • 8
    • 0035628153 scopus 로고    scopus 로고
    • The Long and Large Decline in U.S. Output Volatility
    • Blanchard, O. J. and J. Simon (2001), "The Long and Large Decline in U.S. Output Volatility." Brookings Papers on Economic Activity, 2001-1, 187-207.
    • (2001) Brookings Papers on Economic Activity , vol.2001-1 , pp. 187-207
    • Blanchard, O.J.1    Simon, J.2
  • 9
    • 65949093957 scopus 로고    scopus 로고
    • The Impact of Uncertainty Shocks
    • Bloom, N. (2009), "The Impact of Uncertainty Shocks," Econometrica, 77, 623-685.
    • (2009) Econometrica , vol.77 , pp. 623-685
    • Bloom, N.1
  • 11
    • 42449156579 scopus 로고
    • Generalized Autoregressive Conditional Heteroskedasticity
    • Bollerslev, T. (1986), "Generalized Autoregressive Conditional Heteroskedasticity," Journal of Econometrics, 31, 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 14
    • 15844392342 scopus 로고    scopus 로고
    • Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy
    • Christiano, L., M. Eichenbaum, and C. L. Evans (2005), "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, 113, 1-45.
    • (2005) Journal of Political Economy , vol.113 , pp. 1-45
    • Christiano, L.1    Eichenbaum, M.2    Evans, C.L.3
  • 16
    • 0006260747 scopus 로고    scopus 로고
    • Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory
    • Clarida, R., J. Galí, and M. Gertler (2000), "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory," Quarterly Journal of Economics, 115, 147-180.
    • (2000) Quarterly Journal of Economics , vol.115 , pp. 147-180
    • Clarida, R.1    Galí, J.2    Gertler, M.3
  • 17
    • 84963463704 scopus 로고
    • Modeling the Persistence of Conditional Variances: A Comment
    • Diebold, F. X. (1986), "Modeling the Persistence of Conditional Variances: A Comment," Econometric Reviews, 5, 51-56.
    • (1986) Econometric Reviews , vol.5 , pp. 51-56
    • Diebold, F.X.1
  • 18
    • 31344441352 scopus 로고    scopus 로고
    • Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?
    • Dynan, K. E., D. W. Elmendorf, and D. E. Sichel (2006), "Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity?", Journal of Monetary Economics, 53, 123-150.
    • (2006) Journal of Monetary Economics , vol.53 , pp. 123-150
    • Dynan, K.E.1    Elmendorf, D.W.2    Sichel, D.E.3
  • 19
    • 77952443614 scopus 로고    scopus 로고
    • Some Empirical Evidence on the Real Effects of Nominal Volatility
    • Elder, J. (2004a), "Some Empirical Evidence on the Real Effects of Nominal Volatility," Journal of Economics and Finance, 28, 1-13.
    • (2004) Journal of Economics and Finance , vol.28 , pp. 1-13
    • Elder, J.1
  • 20
    • 7444257434 scopus 로고    scopus 로고
    • Another Perspective on the Effects of Inflation Uncertainty
    • Elder, J. (2004b), "Another Perspective on the Effects of Inflation Uncertainty," Journal of Money, Credit and Bankin, 36, 911-928.
    • (2004) Journal of Money, Credit and Bankin , vol.36 , pp. 911-928
    • Elder, J.1
  • 21
    • 0000051984 scopus 로고
    • Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation
    • Engle, R. F. (1982), "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation," Econometrica 50, 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 22
    • 84993924525 scopus 로고
    • Measuring and Testing the Impact of News on Volatility
    • Engle, R. F. and V. K. Ng (1993), "Measuring and Testing the Impact of News on Volatility," Journal of Finance, 48, 1749-1778.
    • (1993) Journal of Finance , vol.48 , pp. 1749-1778
    • Engle, R.F.1    Ng, V.K.2
  • 23
    • 27844542972 scopus 로고    scopus 로고
    • The Effects of Business Cycles on Growth
    • N. Loayza and R. Soto (eds), Central Bank of Chile
    • Fatás, A. (2002), "The Effects of Business Cycles on Growth, " in N. Loayza and R. Soto (eds), Economic Growth: Sources, Trends and Cycles, Central Bank of Chile.
    • (2002) Economic Growth: Sources, Trends and Cycles
    • Fatás, A.1
  • 26
    • 30744444158 scopus 로고    scopus 로고
    • Estimating Dynamic Equilibrium Economies: Linear Versus Nonlinear Likelihood
    • Ferńandez-Villaverde, J. and J. Rubio-Ramírez (2005), "Estimating Dynamic Equilibrium Economies: Linear Versus Nonlinear Likelihood," Journal of Applied Econometrics, 20, 891-910.
    • (2005) Journal of Applied Econometrics , vol.20 , pp. 891-910
    • Ferńandez-Villaverde, J.1    Rubio-Ramírez, J.2
  • 31
    • 33847132281 scopus 로고    scopus 로고
    • Inflation, Output Growth, and Nominal and Real Uncertainty: Empirical Evidence for the G7
    • Fountas, S. and M. Karanasos (2007), "Inflation, Output Growth, and Nominal and Real Uncertainty: Empirical Evidence for the G7," Journal of International Money and Finance, 26, 229-250.
    • (2007) Journal of International Money and Finance , vol.26 , pp. 229-250
    • Fountas, S.1    Karanasos, M.2
  • 32
    • 0034400970 scopus 로고    scopus 로고
    • The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence
    • Grier, K. B. and M. J. Perry (2000), "The Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Some GARCH-M Evidence," Journal of Applied Econometrics, 15, 45-58.
    • (2000) Journal of Applied Econometrics , vol.15 , pp. 45-58
    • Grier, K.B.1    Perry, M.J.2
  • 33
    • 61649088809 scopus 로고    scopus 로고
    • Money Demand Heterogeneity and the Great Moderation External Link
    • Guerrón-Quintana, P. (2009), "Money Demand Heterogeneity and the Great Moderation External Link," Journal of Monetary Economics, 56, 255-266.
    • (2009) Journal of Monetary Economics , vol.56 , pp. 255-266
    • Guerrón-Quintana, P.1
  • 35
    • 58149507612 scopus 로고    scopus 로고
    • University of California-San Diego Mimeo
    • Hamilton, J. (2008), "Macroeconomics and ARCH," University of California-San Diego Mimeo.
    • (2008) Macroeconomics and ARCH
    • Hamilton, J.1
  • 36
    • 0002556498 scopus 로고
    • The Probability Approach in Econometrics
    • Haavelmo, T. (1994), "The Probability Approach in Econometrics," Econometrica 12 (Supplement), iii-vi+1-115.
    • (1994) Econometrica , vol.3-6 , pp. 1-115
    • Haavelmo, T.1
  • 38
    • 45849088342 scopus 로고    scopus 로고
    • The Time Varying Volatility of Macroeconomic Fluctuations
    • Justiniano A. and G.E.Primiceri (2008), "The Time Varying Volatility of Macroeconomic Fluctuations," American Economic Review, 98, 604-641.
    • (2008) American Economic Review , vol.98 , pp. 604-641
    • Justiniano, A.1    Primiceri, G.E.2
  • 40
    • 75949112830 scopus 로고
    • The Variability of Expectations in Hyperinflations
    • Khan, M. S. (1977), "The Variability of Expectations in Hyperinflations," Journal of Political Economy, 85, 817-827.
    • (1977) Journal of Political Economy , vol.85 , pp. 817-827
    • Khan, M.S.1
  • 41
    • 0039447737 scopus 로고    scopus 로고
    • Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
    • Kim, C. and C. R. Nelson (1998),"Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle," Review of Economics and Statistics, 81, 608-616.
    • (1998) Review of Economics and Statistics , vol.81 , pp. 608-616
    • Kim, C.1    Nelson, C.R.2
  • 42
    • 0001617708 scopus 로고
    • The Demand for Quality-Adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function
    • Klein, B. (1977), "The Demand for Quality-Adjusted Cash Balances: Price Uncertainty in the U.S. Demand for Money Function," Journal of Political Economy, 85, 692-715.
    • (1977) Journal of Political Economy , vol.85 , pp. 692-715
    • Klein, B.1
  • 43
    • 30344486983 scopus 로고    scopus 로고
    • Recursive Monte Carlo Filters: Algorithms and Theoretical Analysis
    • Künsch, H. R. (2005), "Recursive Monte Carlo Filters: Algorithms and Theoretical Analysis," Annals of Statistics 33, 1983-2021.
    • (2005) Annals of Statistics , vol.33 , pp. 1983-2021
    • Künsch, H.R.1
  • 44
    • 0001519332 scopus 로고
    • Time to Build and Aggregate Fluctuations
    • Kydland, F. and E. C. Prescott (1982), "Time to Build and Aggregate Fluctuations," Econometrica, 50, 1345-1370.
    • (1982) Econometrica , vol.50 , pp. 1345-1370
    • Kydland, F.1    Prescott, E.C.2
  • 45
    • 0029481013 scopus 로고
    • Oil Shocks and the Macroeconomy: The Role of Price Variability
    • Lee, K., S. Ni, and R. Ratti (1995), "Oil Shocks and the Macroeconomy: The Role of Price Variability," Energy Journal 16, 39-56.
    • (1995) Energy Journal , vol.16 , pp. 39-56
    • Lee, K.1    Ni, S.2    Ratti, R.3
  • 47
    • 2442527511 scopus 로고    scopus 로고
    • Testing for Indeterminacy: An Application to U.S. Monetary Policy
    • Lubick, T. and F. Schorfheide (2004), "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, 94, 190-217.
    • (2004) American Economic Review , vol.94 , pp. 190-217
    • Lubick, T.1    Schorfheide, F.2
  • 48
    • 0000118629 scopus 로고    scopus 로고
    • Output Fluctuations in the United States: What Has Changed Since the Early 1980's?
    • Mc Connell, M. M. and G. Pérez-Quirós (2000), "Output Fluctuations in the United States: What Has Changed Since the Early 1980's?", American Economic Review 90, 1464-1476.
    • (2000) American Economic Review , vol.90 , pp. 1464-1476
    • McConnell, M.M.1    Pérez-Quirós, G.2
  • 49
    • 0001453216 scopus 로고
    • Real Business Cycles in a Small Open Economy
    • Mendoza, E. (1991), "Real Business Cycles in a Small Open Economy," American Economic Review, 81, 797-818.
    • (1991) American Economic Review , vol.81 , pp. 797-818
    • Mendoza, E.1
  • 50
    • 0028826968 scopus 로고
    • The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations
    • Mendoza, E. (1995), "The Terms of Trade, the Real Exchange Rate, and Economic Fluctuations," International Economic Review, 36, 101-37.
    • (1995) International Economic Review , vol.36 , pp. 101-137
    • Mendoza, E.1
  • 51
    • 0000641348 scopus 로고
    • Conditional Heteroskedasticity in Asset Returns: A New Approach
    • Nelson, D. B. (1991), "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, 59, 347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 53
    • 33645021960 scopus 로고    scopus 로고
    • Accuracy of Simulations for Stochastic Dynamic Models
    • Santos, M. S. and A. Peralta-Alva (2005). "Accuracy of Simulations for Stochastic Dynamic Models," Econometrica 73, 1939-1976.
    • (2005) Econometrica , vol.73 , pp. 1939-1976
    • Santos, M.S.1    Peralta-Alva, A.2
  • 54
    • 0141800024 scopus 로고    scopus 로고
    • Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function
    • Schmitt-Grohé, S. and M.Uribe (2004), "Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function," Journal of Economic Dynamics and Control, 28, 755-775.
    • (2004) Journal of Economic Dynamics and Control , vol.28 , pp. 755-775
    • Schmitt-Grohé, S.1    Uribe, M.2
  • 55
  • 57
    • 33645747482 scopus 로고    scopus 로고
    • Were There Regime Switches in U.S. Monetary Policy?
    • Sims, C. A. and T. Zha (2006), "Were There Regime Switches in U.S. Monetary Policy?" American Economic Review, 96, 54-81.
    • (2006) American Economic Review , vol.96 , pp. 54-81
    • Sims, C.A.1    Zha, T.2
  • 58
    • 33846109529 scopus 로고    scopus 로고
    • Has the Business Cycle Changed, and Why?
    • Stock, J. H. and M. W. Watson (2002), "Has the Business Cycle Changed, and Why?", NBER Macroeconomics Annual, 17, 159-218.
    • (2002) NBER Macroeconomics Annual , vol.17 , pp. 159-218
    • Stock, J.H.1    Watson, M.W.2
  • 59
    • 33646190771 scopus 로고    scopus 로고
    • Country Spreads and Emerging Countries: Who Drives Whom?
    • Uribe, M., and V. Yue (2006), "Country Spreads and Emerging Countries: Who Drives Whom?", Journal of International Economics 69, 6-36.
    • (2006) Journal of International Economics , vol.69 , pp. 6-36
    • Uribe, M.1    Yue, V.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.