Macroeconomic and Financial Risks:
A Tale of Mean and Volatility

Dario Caldara, Chiara Scotti, and Molin Zhong



We construct indicators of uncertainty and risk using a stochastic volatility VAR that generates comovements in mean and volatility and, therefore, time-variation and asymmetries in the distributions of future macroeconomic and financial variables. The model is estimated recursively and using real-time data with Bayesian techniques. We post quarterly updates on this webpage.

Paper available HERE.
Note discussing framework adjustments with respects to COVID-19 HERE.

DATA Updated uncertainty and tail risks measures 1973:Q1 - 2020:Q2.

Cite as: Caldara, Dario and Scotti, Chiara and Molin, Zhong, “Macroeconomic and Financial Risks: A Tale of Mean and Volatility,” International Finance Discussion Papers 1326, Board of Governors of the Federal Reserve System, August 2021.

Figure 1: Conditional Distributions During Covid

Note: See COVID technical note for additional details. Click and drag a box around an area of the chart to zoom in. Double click to zoom out.

Figure 2: Uncertainty and Risk 1 Year Ahead – Real Time Estimates

Note: These figures are the interactive counterparts of Figures 3, 4, and 5 in the CSZ paper. Move the slider below the chart to zoom in on a specific date range.

Figure 3: Posterior Predictive Distributions – Simulated Data

Note: These figures are the interactive counterpart of Figure 2 in the CSZ paper. Click and drag to change the chart viewing angle.

Figure 4: Posterior Predictive Distributions – Actual Data

Note: These figures are the interactive counterpart to Figure 9 in the CSZ paper. Click and drag to change the chart viewing angle.