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 …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their … role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature … has focused on addressing this question. Most works find that uncertainty provides an additional transmission mechanism …

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the … methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for … to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and …

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 time-varying volatility of nominal and financial variables. The cross …

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 …

common and a sector-specific uncertainty component. We apply our framework to a large dataset of disaggregated industrial … production series for the US economy. Our results indicate that common uncertainty and uncertainty linked to nondurable goods … both recorded their pre-pandemic global peaks during the 1973-75 recession. In contrast, durable goods uncertainty recorded …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

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 …

In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General … the effects of uncertainty shocks on economic activity. This amplification channel stems mainly from the stickiness in …