Simulating the outcome of an intervention is a central problem in many fields as this allows decision-makers to quantify the effect of any given strategy and, hence, to evaluate different schemes of actions. Simulation is particularly relevant in very large systems where the statistical model...

This paper proposes an empirical model which can be used to estimate the impact of changes in the volatility of shocks to US real activity on the UK economy. The proposed empirical model is a structural VAR where the volatility of structural shocks is time varying and is allowed to affect the...