This survey features three parts. The first one reviews the most recent literature on the
relationship between domestic (ie, country‐specific) uncertainty and the business cycle, and …

We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor
framework that jointly models global, regional, and country‐specific factors. We quantify the …

This paper uses text analysis to construct a continuous financial stress index (FSI) for 110
countries over each quarter during the period 1967-2018. It relies on a computer algorithm …

This study investigates the effect of oil price uncertainty on unemployment rates by race and
ethnicity. Oil price uncertainty is measured by using two alternative approaches:(1) implied …

We provide new estimates of the impact of shocks to bank capital requirements on lending
supply and macroeconomic activity based on a Bayesian VAR estimated on Italian data and …

We investigate the economic effects of the COVID-19 pandemic and the role played by credit
constraints in the transmission mechanism, using a novel survey of expectations and plans …

A common practice in empirical macroeconomics is to examine alternative recursive
orderings of the variables in structural vector autogressive (VAR) models. When the implied …

Timely monitoring GDP-at-risk and tracing economic downside risk sources can help
establish effective risk warning and prevention systems. This study constructs a probability …

Abstract We use a Bayesian Threshold Vector Autoregression model identified through sign
and narrative restrictions to uncover non-linearities in the propagation of energy supply …

This study relates to a new literature which investigates the distributional effects of
uncertainty shocks. In particular, we examine the effect of oil price uncertainty on …