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 …

the state financial markets are in when they occur. Using monthly US data, we estimate a nonlinear VAR where economic … uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …