Fluctuations in global output volatility Ductor Gómez, Lorenzo Leiva León, Danilo Output volatility Trade Factor model Model uncertainty We thank the editor Mark M. Spiegel and two anonymous referees for excellent useful comments and suggestions that helped to improve this article. We would like to thank Maximo Camacho, Luciano Campos, Alessandro Galessi, Domenico Giannone, Daryna Grechyna, Carlos Thomas, Gabriel Perez-Quiros, Iryna Sikora, Francesco Zanetti and the participants at the 2018 ASSA meetings, the Econometric Society meeting of Latin American, the International Association for Applied Econometrics Conference, the VIII Zaragoza Workshop on Time Series Econometrics, and at the internal seminar series of the Banco de Espana for helpful comments and suggestions. The views expressed in this paper are those of the authors and are in no way the responsibility of the Banco de Espana or Eurosystem. Project PID2019-111708GA-I00 financed by MCIN/AEI/10.13039/501100011033. In this paper, we dissect the time-varying output volatility of the main world economies to study its dynamics, spillovers, and determinants, from a global perspective. Our analysis relies on a hierarchical volatility factor model and Bayesian model averaging. We show that the increasing comovement observed in international macroeconomic volatility is substantially larger in developing than in developed countries. Instead, developed countries have exhibited more asymmetric volatility shocks than developing countries in recent times. We also show that, although the downward trend in global volatility is related with increasing trade, idiosyncratic changes in volatility are highly influenced by domestic monetary policies. However, due to the declining role played by these idiosyncratic components over time, policymakers currently face greater constraints when it comes to stabilizing output fluctuations. 2021-12-01T07:52:53Z 2021-12-01T07:52:53Z 2021-10-16 info:eu-repo/semantics/article Lorenzo Ductor, Danilo Leiva-León, Fluctuations in global output volatility, Journal of International Money and Finance, Volume 120, 2022, 102533, ISSN 0261-5606, [https://doi.org/10.1016/j.jimonfin.2021.102533] http://hdl.handle.net/10481/71834 10.1016/j.jimonfin.2021.102533 eng http://creativecommons.org/licenses/by-nc-nd/3.0/es/ info:eu-repo/semantics/openAccess Atribución-NoComercial-SinDerivadas 3.0 España Elsevier