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 …