volatility as well as the U.S. economy. We find that - even after accounting for these factors - oil price uncertainty still has … confirms these results. Finally, significant spillover effects in the GARCH model suggest that oil price volatility is a gauge …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … 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 develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

. Experience from past financial crises shows, major indicators in financial markets have clustered volatility during periods of … Estimated Loss is introduced as an indicator of banking crisis to analyze volatility clustering in a system-wide perspective …. The results show that crises indicator volatility tends to cluster together when distress signals begin to appear in 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 …

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 …

We analyze the implications of financial openness to macroeconomic volatility in a small open economy. Major … macroeconomic aggregates show non-monotonic volatility patterns with respect to the degree of financial openness in the model … without domestic financial frictions. The introduction of domestic financial frictions makes the volatility patterns flatter …

volatility and economic activity assuming that both variables are driven by the same set of unobserved common factors and that … these factors affect volatility and economic activity with a time lag of at least a quarter. Under these assumptions, the … paper analytically shows that volatility is forward looking and that the output equation of a typical VAR estimated in the …