We show how to study time-varying dynamic causal effects of structural shocks using external instruments in a generalized Factor-Augmented-VAR(FAVAR) model with time-varying parameters and stochastic volatility. Specifically, we employ the Bayesian MCMC estimation methodology and focus on global...

This study examines the time-varying effects of uncertainty shocks on the broadbased movement of commodity returns since the early 1990s. We employ a vector autoregression (VAR) augmented dynamic factor model with time-varying parameters and stochastic volatility (TVP-VAR-DFM-SV) to extract a...