This paper proposes a large-scale Bayesian vector autoregression with factor stochastic volatility to investigate the … flexibility in terms of achieving shrinkage. The factor structure enables us to identify an international uncertainty shock by … assuming that it is the joint volatility process that determines the dynamics of the variance-covariance matrix of the common …

area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0 …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

the neutral technology shock is the main driving force in the volatility slowdown, allowing for a larger financial … ability of our model to replicate the volatility slowdown of the mid 1980s. First, we conclude that the stochastic growth … flexibility in the form of a smaller volatility for the investment-specific innovation improves the ability of our model to …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …