We develop a VAR that allows the estimation of the impact of monetary policy shocks on volatility. Estimates for the US …

identification procedure, we show that the dominant shock driving total factor productivity (TFP) is akin to a diffusion or news … shock and that shock transmission has changed over time. Specifically, the behavior of hours worked is notably different … shock propagation. …

-response analysis and find that a global demand shock is as important as oil supply and oil demand shocks in determining the dynamics of …

, demand, monetary and entry cost shocks. The variables entering the VAR are output, inflation, the nominal interest rate … demand, consistent with the effect of a consumption preference shock predicted by the model …

I compare unemployment expectations from the Michigan Survey of Consumers to VAR forecastable movements in unemployment … falling at the end of a recession even though the VAR predicts the fall in unemployment. Second, more people expect … recession even though the VAR predicts these changes. Finally, the lag change in unemployment is almost as important as the VAR …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …