methods. The effects of several model characteristics(unit roots, GARCH, stochastic volatility, heavy tailed …

build a multivariate time series model with time-varying parameters and stochastic volatility that features measurement … impact of monetary policy shocks, but the majority of this variation is driven by changes in exogenous volatility. …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … evidence with an estimated DSGE framework featuring a concept of uncertainty comparable to that in our VAR. We then use the … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a …