dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries …) to examine the presence of volatility spillover between oil prices and exchange rates return series. The econometric … rates, and ii) there is significant evidence of volatility spillovers from oil markets to exchange rate markets in the …

activity to a financial uncertainty shock during the great recession. We replicate this evidence with an estimated DSGE … real activity of an uncertainty shock under different Taylor rules estimated with normal times vs. great recession data … (the latter associated with a stronger response to output). We find that the uncertainty shock-induced output loss …

an uncertainty shock. We find a significantly stronger response of real activity in recessions. Counterfactual …

residuals of the policy rule equation at these shock dates accordingly. In spite of its utmost agnostic nature, this approach …

-varying levels of volatility and skewness for the same variables; and iii) supercycles of borrowing and deleveraging. All of these …

and subjective models in the cross-section and over time. The model generates time-varying shock transmission, and a …