develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

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 …

propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time …

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income …

area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0 …

volatility to estimate the changing spillover of global oil shocks into the Maltese economy during the period that goes from … international to domestic energy prices decreases from 1% to virtually zero in response to a shock rising real oil prices by 10 …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …