Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.
- Bernanke-Gertler-Gilchrist financial accelerator model with cross-sectional idiosyncratic uncertainty
- idiosyncratic risk shock
"After purchasing capital, each N-type entrepreneur experiences an idiosyncraticshock, ω, which converts capital, K_ t+1 N, into efficiency units, ω K_ t+1 N. Following BGG,we assume that ω has a unit-mean log normal distribution that is independentlydrawn across time and across entrepreneurs. Denote the period t standard deviationof log ω by σ_t . The risk shock, σ_t , characterizes the extentof cross-sectional dispersion in ω. We allow σ_t to vary stochastically over time, andwe discuss its law of motion below."
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