Using U.S. data over the period 1961 - 2000 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level total factor productivity (TFP) growth that range from -0.15 to -0.98...

Using U.S. data over the period 1960Q3 - 2019Q4 we estimate a structural factor-augmented vector autoregressive model and find that a one standard deviation shock to macroeconomic uncertainty generates declines in state-level employment growth that range from -0.02 to -0.12 percentage points at...

We present a framework focused on the interdependence of high-dimensional tail events. This framework allows us to analyze and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the...

We present a framework focused on the interdependence of high-dimensional tail events. This framework allows us to analyse and quantify tail interdependence at different levels of extremity, decompose it into systemic and residual part and to measure the contribution of a constituent to the...