inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for … measures, resulting from the new model, can be used to implemennt joint risk scenario analysis. …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we … time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial …

We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission … factors from such indicators into a framework that can simultaneously estimate historical macroeconomic uncertainty and its …

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty … overall macroeconomic uncertainty. To demonstrate the proposed method we consider two applications. First, we estimate UK … macroeconomic uncertainty due to external shocks and show that this component has become increasingly important over time for …

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 …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and …We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an … business cycle fluctuations. Both demand‐ and supply‐side uncertainty imply large contractions in real activity and an increase …

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make … three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic …

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make … three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic …

This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth … Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely … empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions …