countries or regions. This paper estimates dynamic panel data models with stochastic volatility by maximizing an approximate …Time-varying volatility is common in macroeconomic data and has been incorporated into macroeconomic models in recent … work. Dynamic panel data models have become increasingly popular in macroeconomics to study common relationships across …

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

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 …

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …