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University of Pennsylvania

Financial Immoderation

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Financial Frictions, Propagation Of Shocks, And Macroeconomic Volatility, Cristina Fuentes-Albero May 2010

Financial Frictions, Propagation Of Shocks, And Macroeconomic Volatility, Cristina Fuentes-Albero

Publicly Accessible Penn Dissertations

I study the evolution of aggregate volatility in the US during the postwar period by assessing the relative role played by financial shocks, technological progress, and changes in the financial system. Balance-sheet variables of firms have been characterized by greater volatility since the early 1970s. This Financial Immoderation has coexisted with the so-called Great Moderation, which refers to the slowdown in volatility of real and nominal variables since the mid 1980s. In the second chapter, I study the moderation in real variables calibrating a real business cycle model with two technology shocks. I consider several statistical specifications for technological progress ...