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 …

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 propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship … country-specific capital flow volatility and that the impact of these variables has become even more important since the 2008 …

of volatility, ARCH and GARCH criteria. Some of the controversies relating to financial globalization are reviewed and a … vulnerability to exogenous shocks, thereby increasing macroeconomic volatility. The paper compares the increase in exchange rate … volatility in the post-float (1983Q4) and pre-float periods using measures measures such as standard deviation and Schwert index …

volatility depends on the nature of the underlying shock. Empirical evidence supports this conclusion. Our results also show that … the link between business cycle volatility and financial openness has not been stable over time …