of financial uncertainty over the period 1969-2008. We find evidence in favor of a systematic response to financial … uncertainty over and above that to expected inflation, output gap, and output growth. However, this evidence regards the Greenspan …

-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature … focusing on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part proposes a novel measure … of global financial uncertainty and shows that its unexpected variations are associated to statistically and economically …

uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes in uncertainty are … response of skewness to uncertainty shocks shows that skewness substantially amplifies the recessionary effects of uncertainty. …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

uncertainty and skewness. Embedding these measures in a VAR framework, we show that unexpected changes in uncertainty are … response of skewness to uncertainty shocks shows that skewness substantially amplifies the recessionary effects of uncertainty. …

vs. low macroeconomic uncertainty. We find unexpected monetary policy moves to exert a substantially milder impact in … presence of high uncertainty. We then exploit the set of impulse responses coming from the nonlinear VAR framework to estimate … milder macroeconomic responses to a monetary policy shock estimated with our VAR in presence of high uncertainty. A version …