Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …