Using monthly data for Belgium, France, Germany, Italy and Spain for the period 2002-2019, we build a Hierarchical Euro Area Dynamic Nelson-Siegel model that allows for time varying exposures of national factors on the common components, and for stochastic volatility both at the regional and...

The relationship between uncertainty and economic activity has attracted substantial interest in recent macroeconomics literature. Empirical work has mostly focused on short-run and medium-term effects of uncertainty shocks. However, there are a number of mechanisms that may cause a response of...

We propose a blended approach which combines identification via heteroskedasticity with the widely used methods of sign restrictions, narrative restrictions, and external instruments.Since heteroskedasticity in the reduced form can be exploited to point identify a set of orthogonal shocks, its...