Global Uncertainty, Macroeconomic Activity and Commodity Price
Yifan Shen,
Xunpeng Shi and
Ting Zeng
MPRA Paper from University Library of Munich, Germany
Abstract:
We extend Jurado et al. (2015)’s forecast-error-based uncertainty measure to the international context, and construct a new measure of global uncertainty. We examine dynamic causal effects among global uncertainty and other global macroeconomic variables, and provide two important applications of our global uncertainty measure by linking it to the price formation mechanism of oil and international uncertainty spillover effects. We show that the well-documented relation between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty also plays a key role in determining commodity prices, as well as driving business cycle fluctuations in a certain economy.
Keywords: Global Uncertainty; International Economics; Commodity Price; Oil Price (search for similar items in EconPapers)
JEL-codes: C32 E32 F44 O13 (search for similar items in EconPapers)
Date: 2017-06-04, Revised 2018-11-17
New Economics Papers: this item is included in nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)
Downloads: (external link)
https://mpra.ub.uni-muenchen.de/90089/1/MPRA_paper_90089.pdf original version (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:pra:mprapa:90089
Access Statistics for this paper
More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().