?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F14558%2F&rft.title=The+macroeconomic+effects+of+international+uncertainty+shocks&rft.creator=Crespo+Cuaresma%2C+J.&rft.creator=Huber%2C+F.&rft.creator=Onorante%2C+L.&rft.description=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%2C+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.&rft.publisher=WU+Vienna+University+of+Economics+and+Business&rft.date=2017-03&rft.type=Other&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.rights=arr&rft.identifier=https%3A%2F%2Fpure.iiasa.ac.at%2Fid%2Feprint%2F14558%2F1%2Fwp245.pdf&rft.identifier=++Crespo+Cuaresma%2C+J.+%3Chttps%3A%2F%2Fpure.iiasa.ac.at%2Fview%2Fiiasa%2F58.html%3E%2C+Huber%2C+F.%2C+%26+Onorante%2C+L.++(2017).++The+macroeconomic+effects+of+international+uncertainty+shocks.++++WU+Vienna+University+of+Economics+and+Business+%2C+Vienna%2C+Austria.+++++&rft.relation=http%3A%2F%2Fepub.wu.ac.at%2Fid%2Feprint%2F5462