Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...

Stylized facts suggest that output volatility in OECD countries has declined in recent years. However, the causes and the nature of this decline have so far been analyzed mainly for the United States. In this paper, we analyze whether structural breaks in the dynamics and the volatility of the...

We utilize a Dynamic Factor Model with Stochastic Volatility to filter out the national factor from the local components of weekly state-level economic conditions indexes of the United States over the period of April 1987 to August 2021. Then, we forecast the state-level factors. The forecasting...