The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty

Haroon Mumtaz and Alberto Musso

Journal of Business & Economic Statistics, 2021, vol. 39, issue 2, 466-481

Abstract: We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it using a large panel of macroeconomic and financial data for 22 countries and decompose the variance of each variable in terms of contributions from uncertainty common to all countries (“global uncertainty”), region-specific uncertainty, and country-specific uncertainty. Among other findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation, interest rates, and stock prices, although to a varying extent over time, while all uncertainty components are found to play a nonnegligible role for real economic activity, credit, and money for most countries. Supplementary materials for this article are available online.

Date: 2021
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Citations: View citations in EconPapers (21)

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Related works:
Working Paper: The evolving impact of global, region-specific and country-specific uncertainty (2018)
Working Paper: The evolving impact of global, region-specific and country-specific uncertainty (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:taf:jnlbes:v:39:y:2021:i:2:p:466-481

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DOI: 10.1080/07350015.2019.1668798

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