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Comment on Risk Shocks by Christiano, Motto, and Rostagno (2014)

Lee, Gabriel, Salyer, Kevin and Strobel, Johannes (2016) Comment on Risk Shocks by Christiano, Motto, and Rostagno (2014). Working Paper.

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Date of publication of this fulltext: 28 Sep 2016 09:27

Abstract

In a recent paper, Christiano, Motto and Rostagno (2014, henceforth CMR) report that risk shocks are the most important source of business cycle fluctuations. This result is in contrast to much of the existing literature; e.g. Bachmann and Bayer (2013) report that risk shocks account for 4% of the volatility in GDP. We resolve this apparent contradiction by first highlighting that CMR depart from ...

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Item type:Monograph (Working Paper)
Date:15 September 2016
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienökonomie (Prof. Dr. Gabriel Lee)

Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS
Projects:DFG: LE 1545/1-1
Classification:
NotationType
E4, E5, E2Journal of Economics Literature Classification
Keywords:agency costs, credit channel, time-varying uncertainty
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:Unknown
Refereed:No, this version has not been refereed yet (as with preprints)
Created at the University of Regensburg:Partially
Item ID:34641
Owner only: item control page

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