data properties. In particular, it is shown that changes in the volatility of the shocks can be used for identification …

probability of macroeconomic catastrophes à la Barro (2006), and to the case of an uncertain trend or volatility of growth à la …

production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price … volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times …

activity. However, using U.S. data since 1950 we show that the macroeconomic response pattern to stock market volatility shocks … decomposition for consumption growth shows that the contribution of stock market volatility becomes negligible as we go from earlier … of stock market volatility …

financial volatility. Uncertainty shocks hitting in recessions are found to trigger a more abrupt drop and a faster recovery in …

The paper analyzes the dynamic effects of a total factor productivity shock and an interest rate risk premium shock in … bargaining are introduced. We find that a negative total factor productivity shock primarily has effects on the economy … significantly reduces the initial response of the unemployment rate. In case of a temporary productivity shock, sticky wages imply …

simulations show that pension buffers are highly volatile when the shocks are drawn from realistically modelled multivariate shock … processes. Underfunding occurs relatively frequently. Most of the volatility arises from uncertainty about the yield curve (the …