This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make … three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic …

originating in credit markets and uncertainty shocks. In the extended set-up financial shocks are even more important and a …

-looking measure of industry-level uncertainty using option-implied volatility data for U.S. firms. Second, we identify the effects of …We study how uncertainty propagates through production networks. First, we construct a highly disaggregated, forward … higher uncertainty within industries, across the supply chain, and at the aggregate level. We find that heightened …