eprintid: 14558
rev_number: 14
eprint_status: archive
userid: 5
dir: disk0/00/01/45/58
datestamp: 2017-05-04 08:09:26
lastmod: 2021-08-27 17:28:53
status_changed: 2017-05-04 08:09:26
type: other
metadata_visibility: show
item_issues_count: 1
creators_name: Crespo Cuaresma, J.
creators_name: Huber, F.
creators_name: Onorante, L.
creators_id: 1838
title: The macroeconomic effects of international uncertainty shocks
ispublished: pub
divisions: prog_pop
keywords: Factor stochastic volatility, vector autoregressive models, global propagation of shocks
note: Department of Economics, Vienna University of Economics and Business
Working Paper No. 245
abstract: 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.
date: 2017-03
date_type: published
publisher: WU Vienna University of Economics and Business
official_url: http://epub.wu.ac.at/id/eprint/5462
creators_browse_id: 58
full_text_status: public
place_of_pub: Vienna, Austria
related_url_type: pub
funders: Jubil¨aumsfonds of the Oesterreichische Nationalbank (project number 16244)
coversheets_dirty: FALSE
fp7_project: no
fp7_type: info:eu-repo/semantics/other
citation:   Crespo Cuaresma, J. <https://pure.iiasa.ac.at/view/iiasa/58.html>, Huber, F., & Onorante, L.  (2017).  The macroeconomic effects of international uncertainty shocks.    WU Vienna University of Economics and Business , Vienna, Austria.     
document_url: https://pure.iiasa.ac.at/id/eprint/14558/1/wp245.pdf