develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … variables has declined systematically over time. In contrast, the response of inflation and the short-term interest rate to this … consistent with an increase in the monetary authorities' anti-inflation stance and a 'flattening' of the Phillips curve. …

rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and … Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy …

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 …

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