This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income growth in US states. The results suggest that there is a large degree of heterogeneity in the magnitude and the persistence of the response to uncertainty shocks across states....

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income growth in US states. The results suggest that there is a large degree of heterogeneity in the magnitude and the persistence of the response to uncertainty shocks across states....

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

We show that US financial shocks have an impact on the distribution of UK income and consumption. Households with higher income and higher levels of consumption are affected more by this shock than households located towards the lower end of these distributions. An estimated multiple agent DSGE...

This paper uses a FAVAR model with external instruments to show that the policy uncertainty shocks are recessionary and are associated with an increase in the exit of firms and a decrease in entry and in the stock price with total factor productivity rising in the medium run. To explain this...

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

We use detailed micro information at household level from the Wealth and Assets Survey to construct measures of wealth inequality from 2005 to 2016 at the monthly frequency. We investigate the dynamic relationship between monetary policy and the evolution of wealth inequality measures. Our...

We show that US financial shocks have an impact on the distribution of UK income and consumption. Households with higher income and higher levels of consumption are affected more by this shock than households located towards the lower end of these distributions. An estimated multiple agent DSGE...