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

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade …

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