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Author: Graziano Moramarco
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on the error correction representation of the model, we distinguish between measures of short-run and long-run uncertainty. Over the period 2000Q1-2016Q4, global short-run macroeconomic uncertainty strongly co-moves with financial market volatility, while long-run uncertainty is more highly correlated with economic policy uncertainty. We quantify global spillover effects by decomposing uncertainty into the contributions from individual countries. On average, over 40% of country-specific uncertainty is of foreign origin.
Author: Graziano Moramarco
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on the error correction representation of the model, we distinguish between measures of short-run and long-run uncertainty. Over the period 2000Q1-2016Q4, global short-run macroeconomic uncertainty strongly co-moves with financial market volatility, while long-run uncertainty is more highly correlated with economic policy uncertainty. We quantify global spillover effects by decomposing uncertainty into the contributions from individual countries. On average, over 40% of country-specific uncertainty is of foreign origin.
Author: Ezgi O. Ozturk
Publisher: International Monetary Fund
ISBN: 1484326113
Category : Business & Economics
Languages : en
Pages : 41
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Book Description
Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible.
Author: Sibylle Herz
Publisher:
ISBN:
Category :
Languages : en
Pages : 210
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Author: Chris Brooks
Publisher:
ISBN: 9780734025258
Category : Macroeconomics
Languages : en
Pages : 20
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Author: Mariarosaria Comunale
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 77
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This paper develops a new data-driven metric to capture MacroEconomic Uncertainty (MEU) in the euro area. The measure is constructed as the conditional volatility of the unforecastable components of a large set of time series, accounting for the monetary union as well as cross-country heterogeneity. MEU exhibits the largest spike at the time of the COVID-19 outbreak and is noticeably different from other more financial-oriented and policy-driven uncertainty measures. It also reveals a significant increase in inflation uncertainty in 2021-2022. Our BVAR-based analysis shows that an unexpected increase in the MEU has a negative and persistent impact on euro area's industrial production, accounting for 80 percent of its reduction during the first wave of COVID-19, therefore supporting the interpretation of COVID-19 shock as a macroeconomic uncertainty shock. Public debt increases in response to this uncertainty shock. Finally, an increase in MEU negatively affects Emerging Europe countries, contributing the most to the decline in their economic activity during this COVID-19 period.
Author: Lars Oxelheim
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 300
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Book Description
A much needed bridge between financial and commercial decision making is provided by this comprehensive coverage of macroeconomic uncertainty.
Author: Abigail Haddow
Publisher:
ISBN:
Category :
Languages : en
Pages : 10
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Book Description
The onset of the financial crisis in 2008 brought an end to the 'Great Stability' period, making prospects for UK and global economic growth appear not just weaker, but more uncertain. This elevated uncertainty is likely to have adversely affected spending decisions and contributed to the depth of the recent recession and the weakness of the recovery. While uncertainty is not directly observable, this article constructs an aggregate measure of the economic uncertainty faced by households and companies, based on a number of proxy indicators. It also provides some quantitative analysis of the impact of uncertainty on economic activity, drawing a distinction between shocks to uncertainty that are short-lived and those that are more persistent.
Author: Monika Grzegorczyk
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
It is a cliché in official economic institutions' publications and their leaders' speeches to lament exceptional uncertainty. The complaint does, however, ring true currently. A solid empirical basis should be given to this view by properly measuring macroeconomic uncertainty. To measure macroeconomic uncertainty, we start from observable forecasts of macroeconomic variables, which are transformations of underlying economic conditions. By observing how forecasts change over time, we measure the flow of macroeconomic surprises. The more intense the flow of surprises, the greater uncertainty can be said to be. Greater differences among forecasts are also evidence of uncertainty. We draw out four indicators of macroeconomic uncertainty, measured over the lifetime of the euro: 1. How the macroeconomic forecasts of a given institution for the same time period change over time; 2. How the macroeconomic forecasts of a given institution deviate from realised outcomes; 3. How the macroeconomic forecasts of different institutions deviate from one other; 4. How dispersed the forecasts of different professionals are. We also measure whether the 'stag-' or the '-flationary' component is stronger in the overall stagflationary shock caused by the Russian invasion of Ukraine.
Author: Andreas Dibiasi
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This paper constructs internationally consistent measures of macroeconomic uncertainty. Our econometric framework extracts uncertainty from revisions in data obtained from standardized national accounts. Applying our model to quarterly post-WWII real-time data, we estimate macroeconomic uncertainty for 39 countries. The cross-country dimension of our uncertainty data allows us to identify the effects of uncertainty shocks on economic activity under different employment protection legislation. Our empirical findings suggest that the effects of uncertainty shocks are stronger and more persistent in countries with low employment protection compared to countries with high employment protection. These empirical findings are in line with a theoretical model under varying firing cost.
Author: Michael P. Clements
Publisher:
ISBN:
Category :
Languages : en
Pages :
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