allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of … Estimated Loss is introduced as an indicator of banking crisis to analyze volatility clustering in a system-wide perspective …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in the …

The Great Moderation in the U.S. economy was accompanied by a widespread increase in the volatility of financial … volatility slowdown in real and nominal variables and in shaping the transmission mechanism of financial shocks. Our model … accounts for the increase in the volatility of financial variables through larger financial shocks, but the vulnerability of …

the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …

in the volatility of credit spreads is driven by an easier access to credit, while a higher exposure to financial risk …

the Great Moderation. While the volatility of financial price variables also follows such pattern, financial quantity … variables have experienced a continuous immoderation. We examine these patterns in volatility by estimating a DSGE model with …

We show that the defining features of the Great Moderation were a shift from output volatility to medium …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …