In the past twenty years, measures of economic uncertainty have been developed that are either purely market price … of these uncertainty measures in forecasting three real variables with irreversibilities: investment, hiring, and credit … creation, as well as in explaining fluctuations in stock-market and Treasury bond market volatility. In general, we find that …

% and 40% of cyclical movements in consumption to uncertainty shocks. …

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline … in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In … response to uncertainty shocks, firms increase their markups, in line with the theory of self-insurance against being stuck …

In this paper, we extend the standard Gaussian stochastic-volatility Bayesian VAR by employing the generalized … empirical application using US data on industrial production, consumer prices and economic policy uncertainty, we find support … - although to a moderate extent - for time-varying skewness. In addition, we find that shocks to economic policy uncertainty have …

We rely on a hierarchical volatility factor approach to estimate and decompose time-varying second moments of countries … business cycles, defined as a persistent decline in macroeconomic volatility across the main world economies. This decline in … volatility was induced by a reduction in the underlying global component, uncovering a new level of interconnection of the world …

uncertainty is proxied by the (unobserved) volatility of the structural shocks, and a regime change occurs whenever credit …Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the … interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on …

originating in credit markets and uncertainty shocks. In the extended set-up financial shocks are even more important and a …

We study the effects of financial uncertainty on investment dynamics in the U.S. using a vector autoregression with … drifting parameters and stochastic volatilities. We find time-varying negative effects of financial uncertainty shocks on … bound episode. We also find that the response of inflation to uncertainty shocks varies over time, and these shocks do not …