EconPapers    
Economics at your fingertips  
 

The evolving impact of global, region-specific and country-specific uncertainty

Haroon Mumtaz and Alberto Musso
Additional contact information
Haroon Mumtaz: Queen Mary University of London

No 866, Working Papers from Queen Mary University of London, School of Economics and Finance

Abstract: 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)
Date: 2018-09-01
New Economics Papers: this item is included in nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7) Track citations by RSS feed

Downloads: (external link)
https://www.qmul.ac.uk/sef/media/econ/research/workingpapers/2018/wp866.pdf (application/pdf)

Related works:
Journal Article: The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty (2021) Downloads
Working Paper: The evolving impact of global, region-specific and country-specific uncertainty (2018) Downloads
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:qmw:qmwecw:866

Access Statistics for this paper

More papers in Working Papers from Queen Mary University of London, School of Economics and Finance Contact information at EDIRC.
Bibliographic data for series maintained by Nicholas Owen ( this e-mail address is bad, please contact ).

 
Page updated 2023-01-22
Handle: RePEc:qmw:qmwecw:866