We study the link between financial conditions and uncertainty in emerging markets using a Bayesian Threshold-VAR with … stochastic volatility. In the model, uncertainty is measured as the time-varying volatility of the shocks. The macroeconomic … effects of uncertainty shocks are contingent on financial conditions. We find that sudden jumps in uncertainty tighten …

and economic conditions. We document that integration improves shock absorption: output, consumption, and investment are … significantly higher after a shock in states of high integration than in states of low integration. However, the benefits of … international risk sharing mostly come to advanced economies. Emerging markets only profit from more integration if they have good …

EMEs - to satisfy their Value-at-Risk constraints - in response to uncertainty shocks, borrowing costs increase and …I document that US financial uncertainty shocks, measured by an unexpected increase in VIX, have a substantial impact … propagation mechanism of US financial uncertainty shocks to EMEs. I augment a boom-bust cycle model of EMEs by Schneider and …