Risk Matters: The Real Effects of Volatility Shocks (AER 2011)

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Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Jesús Fernández-Villaverde, Pablo Guerrón-Quintana, Juan F. Rubio-Ramírez, Martin Uribe Risk Matters: The Real Effects of Volatility Shocks AER 2011 6 2530-2561 E13, E20, E32, E43, F32, F43, O11 -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 0 1 likelihood estimation, Bayesian estimation, Monte Carlo estimation macro, time series Emerging Markets Bond Index, IMF data, only Argentinian data in journal archive, not for Brazil, Ecuador, and Venezuela World Fortran, Mathematica, MATLAB

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement
Benjamin Born, Johannes Pfeifer Risk Matters: A Comment DWP 2014 - - E32, E43, F32, F44 interest rate risk, stochastic volatility - - - - -

References

DOI: 10.1257/aer.101.6.2530 IDEAS: a/aea/aecrev/v101y2011i6p2530-61.html EconPapers: RePEc:aea:aecrev:v:101:y:2011:i:6:p:2530-61



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