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.
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.