| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12713 |
| DP12713 Uncertainty and Economic Activity: A Multi-Country Perspective | |
| Alessandro Rebucci; Ambrogio Cesa-Bianchi; M. Hashem Pesaran | |
| 发表日期 | 2018-02-12 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper proposes a new multi-country approach to the analysis of the interaction between uncertainty and economic activity, without a priori restricting the direction of causality. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to common technology shocks that affect output growth, higher-order moments of technology shocks are also required to explain the cross country variations of realized volatility. Using this theoretical insight, two common factors, a `real' and a `financial' one, are identified in the empirical analysis assuming different patterns of cross-country correlations of country-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of the common factor shocks as well as country-specific volatility and GDP growth shocks. The paper highlights three main empirical findings. First, it is shown that most of the unconditional correlation between volatility and growth can be accounted for by the real common factor, which is proportional to world growth in our empirical model and linked to the risk-free rate. Second, the share of volatility forecast error variance explained by the real common factor and by country-specific growth shocks amounts to less than 5 percent. Third, shocks to the common financial factor explain about 10 percent of the growth forecast error variance, but when such shocks occur, their negative impact on growth is large and persistent. In contrast, country-specific volatility shocks account for less than 1-2 percent of the growth forecast error variance. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Uncertainty Business cycle Common factors Real and financial global shocks Multi-country Identification Volatility |
| URL | https://cepr.org/publications/dp12713 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541525 |
| 推荐引用方式 GB/T 7714 | Alessandro Rebucci,Ambrogio Cesa-Bianchi,M. Hashem Pesaran. DP12713 Uncertainty and Economic Activity: A Multi-Country Perspective. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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