autoregressive model with time-varying parameters and stochastic volatility (TVP-SV-GVAR). We find that a contractionary US monetary … policy shock leads to a persistent fall in international output, a drop in global inflation rates, a rise in international … shock to foreign real GDP growth …

. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to … the cross country variations of realized volatility. Using this theoretical insight, two common factors, a ‘real' and a …-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of …

The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling …. This effect is significant and robust over a wide range of specifications. We unravel the effects of volatility by opening … dependence, physical and institutional barriers to trade and associated policy shocks increase volatility sharply and harm growth …

policy shock, we also consider oil price, US equity and US real output shocks …

large parts of the world. In this paper we explore the financial and the trade channel in a unified framework and quantify …

A growing literature uses changes in residual volatility for identifying structural shocks in vector autoregressive … in applications in this context. This study reviews the different volatility models and points out their advantages and …

volatility of macroeconomic variables. Such identification approach allows us to simultaneously address two major questions in …

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

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