accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their … effect: when uncertainty rises, business loans tend to increase immediately after the shock, but return rapidly to their …