flexibility in terms of achieving shrinkage. The factor structure enables us to identify an international uncertainty shock by … responses of a set of macroeconomic and financial variables show that an international uncertainty shock exerts large effects on …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …