variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty … overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK … macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for …

; Financial Risk ; Environmental Risk ; Prudence ; Relative Risk Aversion ; Uncertainty …This paper studies the empirical relationship between consumption and saving under two different sources of uncertainty …: financial risk and environmental risk. The analysis is carried out using time series data for six advanced economies in the …

extended model with an infinite horizon, idiosyncratic risk and more realistic assumptions is used to demonstrate the general …

rates. The single agent, in a dynamic exchange economy, treats the conditional uncertainty about the consumption and … dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …-free rate in data and measure the uncertainty each period conditional on the actual, observed histroy of (U.S.) macroeconomic …

quantifying the impact of uncertainty on macroeconomic dynamics. This paper studies the interrelation between financial markets …

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we … develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income … of the response to uncertainty shocks across states. The response is largest in Michigan, Indiana and Arkansas while the … real income in New York, Alaska and New Mexico seems least sensitive to uncertainty. We relate the cross section of …