common global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices …, although to a varying extent over time. Region-specific uncertainty drives most of the exchange rate volatility for all Euro …We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the …

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we … time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial …