factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

business cycles, defined as a persistent decline in macroeconomic volatility across the main world economies. This decline in … volatility was induced by a reduction in the underlying global component, uncovering a new level of interconnection of the world …We rely on a hierarchical volatility factor approach to estimate and decompose time-varying second moments of countries …

, inflation volatility has been typically neglected, while it is clearly relevant both from a policy point of view and for … inflation stochastic volatility is indeed important, and a substantial share of it can be attributed to a global factor that …

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …. By allowing for rich dynamic interaction between the endogenous variables and time-varying volatility in the global …

Covid-19. We show that there exist threshold effects in the relationship between output growth and excess global volatility … observations. Our results show that the Covid-19 pandemic will lead to a significant fall in world output that is most likely long …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …