The evolving impact of global, region-specific and country-specific uncertainty
Haroon Mumtaz and
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Haroon Mumtaz: Queen Mary University of London
No 866, Working Papers from Queen Mary University of London, School of Economics and Finance
We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several variables for a large number of 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 non-negligible role for real economic activity, credit and money for most countries.
Keywords: Dynamic Factor Model; Time-Varying Parameters; Stochastic Volatility; Uncertainty Shocks; Global Uncertainty (search for similar items in EconPapers)
JEL-codes: C15 C32 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-mac
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Journal Article: The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty (2021)
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:qmw:qmwecw:866
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