Global macroeconomic uncertainty

Berger, Tino and Grabert, Sibylle and Kempa, Bernd,(2017), Global macroeconomic uncertainty. , Journal of Macroeconomics, UNSPECIFIED

[thumbnail of Global-macroeconomic-uncertainty_2017_Journal-of-Macroeconomics.pdf] Text
Restricted to Repository staff only

Download (1MB) | Request a copy


We empirically identify global macroeconomic uncertainty using a dynamic factor model, where the conditional variances of all factors are modeled as stochastic volatility processes. Applying this methodology to OECD data, we find the early 1970s and early 1980s re- cessions as well as the recent Great Recession of the late 20 0 0s to be associated with increases in uncertainty at the global level, but heightened uncertainty during the early 1990s and 20 0 0s slowdowns to be mostly confined to the national levels. We also find that global uncertainty unambiguously lowers national growth rates and raises national inflation rates, and that key macroeconomic variables like oil, commodity and stock prices as well as global liquidity act as drivers of the global dimension of uncertainty.
Keywords : Global macroeconomic uncertainty Dynamic factor models Stochastic volatility, UNSPECIFIED
Journal or Publication Title: Journal of Macroeconomics
Volume: 53
Item Type: Article
Subjects: Ekonomi Pembangunan
Depositing User: Elok Inajati
Date Deposited: 30 Dec 2019 07:08
Last Modified: 30 Dec 2019 07:08

Actions (login required)

View Item
View Item