Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

Andrea Carriero, Todd Clark and Massimiliano Marcellino

No 18-03R, Working Papers from Federal Reserve Bank of Cleveland

Abstract: This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant 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: Bayesian Methods; Stochastic Volatility; identification; Endogeneity; Uncertainty (search for similar items in EconPapers)
JEL-codes: C11 C32 D81 E32 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2019-09-05
New Economics Papers: this item is included in nep-ecm, nep-ifn, nep-mac and nep-ore
Note: First version March 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://doi.org/10.26509/frbc-wp-201803r Full text (text/html)

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)
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:fip:fedcwq:180301

Ordering information: This working paper can be ordered from

DOI: 10.26509/frbc-wp-201803r

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().