Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Massimiliano Marcellino, Todd Clark and Andrea Carriero

No 13970, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of signi cant 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.

Keywords: Business cycle uncertainty; stochastic volatility; Large datasets (search for similar items in EconPapers)
JEL-codes: C11 C55 E32 F44 (search for similar items in EconPapers)
Date: 2019-08
New Economics Papers: this item is included in nep-mac and nep-ore
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Assessing international commonality in macroeconomic uncertainty and its effects (2020)
Working Paper: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects (2019)
Working Paper: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects (2018)
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