| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13970 |
| DP13970 Assessing International Commonality in Macroeconomic Uncertainty and Its Effects | |
| Massimiliano Marcellino; Todd Clark; Andrea Carriero | |
| 发表日期 | 2019-08-30 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of signicant commonality in macroeconomic volatility, with one common factor driving strong comovement across economies and variables. We measure uncertainty and its effects with a large model in which the error volatilities feature a factor structure containing time-varying global components and idiosyncratic components. Global uncertainty contemporaneously affects both the levels and volatilities of the included variables. Our new estimates of international macroeconomic uncertainty indicate that surprise increases in uncertainty reduce output and stock prices, adversely affect labor market conditions, and in some economies lead to an easing of monetary policy. |
| 主题 | International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Business cycle uncertainty stochastic volatility Large datasets |
| URL | https://cepr.org/publications/dp13970 |
| 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/542851 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Todd Clark,Andrea Carriero. DP13970 Assessing International Commonality in Macroeconomic Uncertainty and Its Effects. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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