In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018). The model is re-written so that some of the Metropolis Hastings steps are avoided.

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori and structural shocks can be identified ex-post...

We use variation in the effect of US-wide or global uncertainty on state-level uncertainty to identify the impact of this shock on real activity. We ?nd that increases in uncertainty do have an adverse impact on real income, employment and unemployment. Thus, uncertainty shocks can be a source...

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

This paper identifies two types of policy uncertainty measures-government spending and real interest rates-and their impact on macroeconomic activity in 54 advanced, emerging, and developing economies. Policy uncertainty is defined as the inability to predict policy moves, that is, the...

The design of monetary policy depends upon the targeting strategy adopted by the central bank. This strategy describes a set of policy preferences, which are actually the structural parameters to analyse monetary policy making. Accordingly, we develop a novel calibration method to identify...

Economic activities are highly clustered. Why is geographic con-centrationbecoming a predominant feature of modern economies? Onthe basis of the empirical models developed by the 'new' theories ofinternational trade, our answer is that increasing returns are the driv-ingforce of economic...