intraday time-varying volatility. This approach is the first to accommodate changes in both the nature of shocks and the state … the real economy, I find that the asset purchase shock has significant effects on consumer and professional expectations …

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the … common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

unanticipated shock of the same size. This inversion of the volatility effects of news shocks follows from the inverse relation …This paper studies the volatility implications of anticipated cost-push shocks (i.e. news shocks) in a New Keynesian … lead in both policy regimes to a higher (lower) volatility in the output gap and in the central bank’s loss than an …

of the households' consumer price inflation rates or their individual rates, respectively. After a negative demand shock … less under that regime. After a negative supply shock, a central bank only considering the household experiencing the … higher inflation rate mitigates the immediate effects of the shock on both consumer price inflation rates more effectively …

imperfectly competitive banking sector into a DSGE model with financial frictions. Banks issue collateralized loans to both …