model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their …

Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often … overlooked in the literature. This paper compares inflation volatility among advanced open economies with inflation targeting …, the volatility of inflation was similar among countries, even when controlling for monetary policy activity and other …

economies. To do so, we build a stochastic endogenous growth model for a small open economy that can (i) borrow from the rest of … integration translate into slightly higher annual growth rates (around 0.4 percentage point per year.) …

rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard …We use a simple New Keynesian model, with firm specific capital, non-zero steady-state inflation, long-run risks and … Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy …

volatility process of the innovations of the panel time series into account. Nonstationarity volatility arises for instance when … there are structural breaks in the innovation variances. A prominent example is the reduction in GDP growth variances … unit roots that is, unlike many previously suggested tests, robust to such volatility processes. The panel test is based on …