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The authors build a new database of highly spatially disaggregated indicators related to risk and resilience to the … concentrations of these and other risk factors at the lowest administrative level in the country, neighborhood-sized units called … survey data from the ongoing Listening to the Citizens of Uzbekistan project to produce an overall risk index, which is …
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We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...
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The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...
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develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …
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This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income growth in US states. The results suggest that there is a large degree of heterogeneity in the magnitude and the persistence of the response to uncertainty shocks across states....
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