sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further …

This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the … decline in the volatility of exogenous shocks but rather a change in their propagation mechanism. …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …