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Risk Shocks
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."
- 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."
Timing of receiving information
Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.
<quote>
We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
<unquote>
<quote>
We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
<unquote>
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