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 …

findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … variables for a large number of countries and decompose the variance of each variable in terms of contributions from uncertainty …

common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the …

We rely on a hierarchical volatility factor approach to estimate and decompose time-varying second moments of countries … business cycles, defined as a persistent decline in macroeconomic volatility across the main world economies. This decline in … volatility was induced by a reduction in the underlying global component, uncovering a new level of interconnection of the world …

We propose a new time-varying peaks over threshold model to study tail risk dynamics in equity markets: the laws of …-sorted decile stock portfolios and show that large firm tail risk increases during recessions more than small firms tail risk. Our … risk shocks on the economy. A measure of tail connectedness is proposed: evidence from international equity markets shows …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …