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Using data on border enforcement and macroeconomic indicators from the United States and Mexico, we estimate a two …
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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...
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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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