need for macroeconomic forecasters to account for sudden and deep recessions, periods of higher macroeconomic volatility … Factor Model (MS-DFM) by incorporating two new features: switches in volatility and time-variation in trend GDP growth. First …, we show that volatility switches largely improve the detection of business cycle turning points in the low-volatility …

In this paper we estimate a Bayesian vector autoregressive model with factor stochastic volatility in the error term to …

Does time-varying business volatility affect the price setting of firms and thus the transmission of monetary policy … Climate Survey the impact of idiosyncratic volatility on the price setting behavior of firms. In a second step, we use a … calibrated New Keynesian business cycle model to gauge the effects of time-varying volatility on the transmission of monetary …

The decline in macroeconomic volatility from the 1980s to the onset of the Great Recession did not, in general …, translate into more microeconomic stability. While microeconomic volatility can reflect growth-generating processes, such as … creative destruction and re-allocation of resources, consumption growth volatility weighs on households’ welfare. This study …