GLOBAL UNCERTAINTY

Giovanni Caggiano and Efrem Castelnuovo

No 269, "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno"

Abstract: We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We also unveil the existence of a global finance uncertainty multiplier: the more global financial conditions deteriorate after GFU shocks, the larger the world output contraction is.

Keywords: Global Financial Uncertainty; dynamic hierarchical factor model; structural VAR; world output loss; global finance uncertainty multiplier (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Pages: 59 pages
Date: 2021-02
New Economics Papers: this item is included in nep-cwa, nep-ifn, nep-int and nep-mac
References: Add references at CitEc
Citations:

Downloads: (external link)
https://economia.unipd.it/sites/economia.unipd.it/files/20210269.pdf (application/pdf)

Related works:
Working Paper: Global Uncertainty (2021)
Working Paper: Global uncertainty (2021)
Working Paper: Global Uncertainty (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pad:wpaper:0269

Access Statistics for this paper

More papers in "Marco Fanno" Working Papers from Dipartimento di Scienze Economiche "Marco Fanno" Contact information at EDIRC.
Bibliographic data for series maintained by Raffaele Dei Campielisi ().