The evolving impact of global, region-specific and country-specific uncertainty

Arbeitspapier

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several variables for a large number of countries and decompose the variance of each variable in terms of contributions from uncertainty common to all countries (global uncertainty), region-specific uncertainty and country-specific uncertainty. Among other findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices, although to a varying extent over time, while all uncertainty components are found to play a non-negligible role for real economic activity, credit and money for most countries.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 866

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Subject: Dynamic Factor Model ; Time-Varying Parameters ; Stochastic Volatility ; Uncertainty Shocks ; Global Uncertainty

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mumtazy, Haroon ; Mussoz, Alberto
• Event: Veröffentlichung
• (who): Queen Mary University of London, School of Economics and Finance
• (where): London
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/210423
• Last update: 10.03.2025, 11:44 AM CET