uncertainty shocks to depend on the average outlook of the economy measured by survey data. We find that, in response to an … uncertainty shock, the peak decrease in industrial production and inflation is around three and a half times larger during … uncertainty at the outset of the COVID-19 epidemics in February and March 2020. Industrial production is predicted to experience a …

This paper formally incorporates parameter uncertainty and model error into the estimation of contingent claim models … ratios) consistent with uncertainty in both parameters and models. We show how to recover the exact posterior distributions …