The role of uncertainty in the global economy is now widely recognized by policy-makers but its effects on the international financial system are less understood. In this paper we assess the impact of uncertainty fluctuations on the interconnectedness within the international system of equity...

This paper evaluates the effects of high-frequency uncertainty shocks on a set of lowfrequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to...

The recent weakness in business investment among advanced economies has revived interest in investment models and opened a debate on the main drivers of the "investment slump" and what the policy response should be – if any. In particular, it is essential to assess precisely whether the...

In this paper, we empirically look at the effects of uncertainty on risk measures for exchange rates, by focusing on two recent specific periods: the Brexit and the outbreak of the Covid-19. Based on a Fama regression extended with uncertainty measures, we forecast exchange rate in the short run...