shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0 …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

This paper proposes a large-scale Bayesian vector autoregression with factor stochastic volatility to investigate the … flexibility in terms of achieving shrinkage. The factor structure enables us to identify an international uncertainty shock by … assuming that it is the joint volatility process that determines the dynamics of the variance-covariance matrix of the common …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …