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

URN to cite this document:
Lee, Gabriel ; Salyer, Kevin ; Strobel, Johannes
Date of publication of this fulltext: 28 Sep 2016 09:27


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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