volatility, and swings in foreign investment – play important roles in the transmission of uncertainty shocks … uncertainty shocks stemming from geopolitical swings in South Korea. We construct robust instrumental variables for examining the … variations in uncertainty due to geopolitical swings by observing high-frequency changes in financial asset returns and their …

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make … three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic …

factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with … estimated persistence at 0.98. Evidence of time variation in the volatility of the global factor is overwhelming as there are … times in which volatility could be several times larger than its unconditional level (about ten times in the aftermath of …

This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … autoregressive inverse Wishart-in-VAR (CAIW-in-VAR) model as a framework for studying the real effects of uncertainty shocks. We make … three contributions to the literature. First, the uncertainty shocks we analyze are estimated directly from macroeconomic …

endogenous term premium. Using term structure and macroeconomic data, we find sizable effects of uncertainty on risk premia and …We estimate a production‐based general equilibrium model featuring demand‐ and supply‐side uncertainty and an … business cycle fluctuations. Both demand‐ and supply‐side uncertainty imply large contractions in real activity and an increase …

model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their … role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature … has focused on addressing this question. Most works find that uncertainty provides an additional transmission mechanism …

This paper sheds light on the impact of global macroeconomic uncertainty on the euro area economy. We build on the … methodology proposed by Jurado et al. (2015) and estimate global as well as country-specific measures of economic uncertainty for … to a wide range of historical events generally associated with heightened uncertainty. In addition, following Pier and …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we … propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time …-varying impact on key macroeconomic and financial variables. We find that the impact of uncertainty shocks on these variables has …