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

deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … 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 …

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

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 …