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 …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their … effect: when uncertainty rises, business loans tend to increase immediately after the shock, but return rapidly to their …

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 …