In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to … assess the effects of an uncertainty shock in the Euro area. This allows us to treat macroeconomic uncertainty as a latent … quantity during estimation. Only a limited number of contributions to the literature estimate uncertainty and its macroeconomic …

, from a copula framework, we obtain the conditional expectation and measure the exchange rate contribution to shock …

need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

real-time volatility. While the extended Hodrick-Prescott filter is particularly appealing for its real-time stability, it …

Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy … Climate Survey the impact of idiosyncratic volatility on the price setting behavior of firms. In a second step, we use a … calibrated New Keynesian business cycle model to gauge the effects of time-varying volatility on the transmission of monetary …