The macroeconomic effects of international uncertainty shocks
Jesus Crespo Cuaresma (),
Florian Huber and
Luca Onorante ()
Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics
We propose a large-scale Bayesian VAR model with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks on the G7 countries. The factor structure enables us to identify an international uncertainty shock by assuming that it is the factor most correlated with forecast errors related to equity markets and permits fast sampling of the model. Our findings suggest that the estimated uncertainty factor is strongly related to global equity price volatility, closely tracking other prominent measures commonly adopted to assess global uncertainty. The dynamic responses of a set of macroeconomic and financial variables show that an international uncertainty shock exerts a powerful effect on all economies and variables under consideration.
Keywords: Factor stochastic volatility; vector autoregressive models; global propagation of shocks (search for similar items in EconPapers)
JEL-codes: C30 E52 F41 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ore
Note: PDF Document
References: Add references at CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed
Downloads: (external link)
Working Paper: The macroeconomic effects of international uncertainty shocks (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:wiw:wiwwuw:wuwp245
Access Statistics for this paper
More papers in Department of Economics Working Papers from Vienna University of Economics and Business, Department of Economics Welthandelsplatz 1, 1020 Vienna, Austria.
Bibliographic data for series maintained by Department of Economics ().