Before revision: In this paper , we estimate a Bayesian vector autoregressive (VAR) model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area (EA) . This allows us to incorporate uncertainty directly into the econometric framework and treat it as a latent quantity  .
After revision: In this paper , we estimate a Bayesian vector autoregressive (VAR) model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area (EA) . This allows us to incorporate uncertainty directly into the econometric framework and treat it as a latent quantity during estimation .