develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …

inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …