setting, we find that US interest rate uncertainty not only drives local output and in ation volatility, but also causes …We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …

setting, we find that US interest rate uncertainty not only drives local output and inflation volatility, but also causes …We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy … shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification …

(conventional and unconventional) monetary policy shocks affect risk and uncertainty in three large economies: the US, euro area … stock market into a conditional variance component ("uncertainty") and a variance risk premium component (which is more … model. We then analyze monetary policy effects on risk and uncertainty. We do not find evidence that US monetary policy …

findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … variables for a large number of countries and decompose the variance of each variable in terms of contributions from uncertainty …