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develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …
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model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …
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This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty …
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We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common factors from such indicators into a framework that...
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