| 来源类型 | Other |
| 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 |
| URL | http://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. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| wp245.pdf（640KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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