Estimating the effects of global uncertainty in open economies

Silvia Delrio ()

No 2016:19, Working Papers from Department of Economics, University of Venice "Ca' Foscari"

Abstract: This paper investigates the effects of a global uncertainty shock in open economies and the role of country relative risk exposure in the transmission of the shock. We employ an Interacted VAR model to take the time- varying dimension of country relative risk exposure into account. Evidence of nonlinearities in the real effects of a global uncertainty shock is found. The reduction in real activity is larger when the country is more exposed to aggregate risk. These findings support recent theoretical contributions on the role of risk exposure in the transmission of uncertainty shocks.

Keywords: Global uncertainty shocks; Country relative riskiness; International analysis; Interacted VAR; Generalized Impulse Response Functions (search for similar items in EconPapers)
JEL-codes: C32 E32 F41 (search for similar items in EconPapers)
Pages: 61 pages
Date: 2016
New Economics Papers: this item is included in nep-mac, nep-opm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.unive.it/web/fileadmin/user_upload/dip ... DSE_delrio_19_16.pdf First version, anno (application/pdf)

Related works:
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:ven:wpaper:2016:19

Access Statistics for this paper

More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Bibliographic data for series maintained by Sassano Sonia ().