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The macroeconomic effects of international uncertainty shocks.
Crespo Cuaresma J; Huber F; Onorante L
发表日期2017
出处WU Vienna University of Economics and Business , Vienna, Austria.
出版年2017
语种英语
摘要We propose a large-scale Bayesian VAR model with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks on the G7 countries. The factor structure enables us to identify an international uncertainty shock by assuming that it is the factor most correlated with forecast errors related to equity markets and permits fast sampling of the model. Our findings suggest that the estimated uncertainty factor is strongly related to global equity price volatility, closely tracking other prominent measures commonly adopted to assess global uncertainty. The dynamic responses of a set of macroeconomic and financial variables show that an international uncertainty shock exerts a powerful effect on all economies and variables under consideration.
主题World Population (POP)
关键词Factor stochastic volatility, vector autoregressive models, global propagation of shocks
URLhttp://pure.iiasa.ac.at/id/eprint/14558/
来源智库International Institute for Applied Systems Analysis (Austria)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/135753
推荐引用方式
GB/T 7714
Crespo Cuaresma J,Huber F,Onorante L. The macroeconomic effects of international uncertainty shocks.. 2017.
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