constructed by exploiting variations in the price of gold around events that capture periods of changes in uncertainty. The … variations in the price of gold around the events correlate with the underlying uncertainty shocks, due to the perception of gold …

the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional … notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips …

stress). Working with a VAR framework and a set-identification strategy which focuses on - but it is not limited to … disruptions are found to double the negative output response to an uncertainty shock. We then employ our model to estimate the … overall economic cost of the COVID-19-induced uncertainty shock under different scenarios. Our results point to the …

We estimate an unrestricted VAR to summarize the dynamics of the stringency of policy and COVID-19 infections in New …