Estimating the response of hours worked to technology shocks is often considered as a crucial step for evaluating the applicability of macroeconomic models to reality. In particular, Galí [1999] has considered the conditional correlation between employment and productivity as a key tool for...

We employ a two-stage general dynamic factor model to analyze co-movements between returns and between volatilities of stocks from the US, European, and Japanese financial markets. We find two common shocks driving the dynamics of volatilities – one global shock and one US-European shock –...