Impact of Global Uncertainty on the Global Economy and Large Developed and Developing Economies
Kang Wensheng,
Ronald Ratti and
Joaquin Vespignani
MPRA Paper from University Library of Munich, Germany
Abstract:
Global uncertainty shocks are associated with a sharp decline in global inflation, growth and interest rate. From 1981 to 2014, global financial uncertainty forecasts 18.26% and 14.95% of the variation in global growth and global inflation, respectively. Global uncertainty shocks exhibit more protracted, statistically significant and substantial effects on the global growth, inflation and interest rate than U.S. uncertainty shocks. U.S. uncertainty lags global uncertainty by one month. When controlling for domestic uncertainty, the decline in output following a rise in global uncertainty is statistically significant in each country, with the exception of the decline for China. The effects for the U.S. and China are also relatively small. For most economies, a positive shock to global uncertainty has a depressing effect on prices and official interest rates – exceptions are Brazil, Mexico and Russia, which represent economies with large capital outflows during financial crises. Decomposition of global uncertainty shocks shows that global financial uncertainty shocks are more important than non-financial shocks.
Keywords: Global; Uncertainty Shocks; Monetary Policy; FAVAR (search for similar items in EconPapers)
JEL-codes: E00 E1 (search for similar items in EconPapers)
Date: 2017-10-15
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (6)
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https://mpra.ub.uni-muenchen.de/82188/1/MPRA_paper_82188.pdf original version (application/pdf)
Related works:
Journal Article: Impact of global uncertainty on the global economy and large developed and developing economies (2020) 
Working Paper: The impact of global uncertainty on the global economy, and large developed and developing economies (2017) 
Working Paper: The Impact of Global Uncertainty on the Global Economy, and Large Developed and Developing Economies (2017) 
Working Paper: The impact of global uncertainty on the global economy, and large developed and developing economies (2017) 
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