that a rise in conditional consumption growth volatility relative to the rest of the world reduces the foreign exchange … relation between the volatility in consumption growth and the level of real interest rates relative to the world interest rate … rates and macroeconomic volatility, on the one hand, and macroeconomic volatility and the net foreign asset position, on the …

VARs. To address these issues, we propose VAR models with outlier-augmented stochastic volatility (SV) that combine … transitory and persistent changes in volatility. The resulting density forecasts are much less sensitive to outliers in the data … the pandemic period, as well as for earlier subsamples of relatively high volatility. In historical forecasting, outlier …