International spill-overs of uncertainty shocks: Evidence from a FAVAR

Gunes Kamber, Ozer Karagedikli, Michael Ryan and Tugrul Vehbi ()

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: This paper analyses the international spill-overs of uncertainty shocks originating in the US. We estimate an open economy, structural factor-augmented vector autoregression (FAVAR) model that identifies US uncertainty shocks and estimates the impact of these uncertainty shocks on the US economy, major world economies and a small open economy, namely New Zealand. The data-rich nature of our model allows us to investigate different transmission channels from the US to the rest of the world. We find the confidence channels, measured by the expectations surveys, are particularly important in the transmission of the uncertainty shock to a small open economy.

Keywords: FAVAR; uncertainty shocks; small open economy (search for similar items in EconPapers)
JEL-codes: C15 C32 E32 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2016-10
New Economics Papers: this item is included in nep-mac and nep-opm
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Citations: View citations in EconPapers (18)

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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2016-61

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