TY  - GEN
CY  - Vienna, Austria
N1  - Department of Economics, Vienna University of Economics and Business
Working Paper No. 245
ID  - iiasa14558
UR  - http://epub.wu.ac.at/id/eprint/5462
A1  - Crespo Cuaresma, J.
A1  - Huber, F.
A1  - Onorante, L.
Y1  - 2017/03//
N2  - 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.
PB  - WU Vienna University of Economics and Business
KW  - Factor stochastic volatility
KW  -  vector autoregressive models
KW  -  global propagation of shocks
TI  - The macroeconomic effects of international uncertainty shocks
AV  - public
ER  -