volatility, and swings in foreign investment – play important roles in the transmission of uncertainty shocks …

What is the dominant driver of macroeconomic uncertainty? Is it the aggregate demand or the aggregate supply shock? In …. However, an identified uncertainty shock in the data causes a contraction in output and significant declines in consumption … uncertainty resemble the impact of a negative demand shock. These findings suggest that the long-lived supply-driven uncertainty …

allow for low-frequency variation in the volatility of the shocks, and 2) the estimated degrees of freedom are quite low for … exclude the Great Recession from the sample. We also show that inference about low-frequency changes in volatility - and, in …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …