Arbeitspapier
The evolving impact of global, region-specific and country-specific uncertainty
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 866
- Klassifikation
-
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
- Thema
-
Dynamic Factor Model
Time-Varying Parameters
Stochastic Volatility
Uncertainty Shocks
Global Uncertainty
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Mumtazy, Haroon
Mussoz, Alberto
- Ereignis
-
Veröffentlichung
- (wer)
-
Queen Mary University of London, School of Economics and Finance
- (wo)
-
London
- (wann)
-
2018
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Mumtazy, Haroon
- Mussoz, Alberto
- Queen Mary University of London, School of Economics and Finance
Entstanden
- 2018
Ähnliche Objekte (12)
The evolving impact of global, region-specific and country-specific uncertainty
Common and country specific economic uncertainty
An impact of country-specific economic developments on ECB decisions
Region-Specific versus Country-specific Poverty Lines in Analysis of Poverty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-Specific Uncertainty
Decomposition of country-specific corporate bond spreads
The world economy: global and country-specific aspects
Country-Specific Preferences and Employment Rates in Europe
Capital flows to emerging market and developing economies: Global liquidity and uncertainty versus country-specific pull factors
Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors
The evolving impact of global, region-specific and country-specific uncertainty
Common and country specific economic uncertainty
An impact of country-specific economic developments on ECB decisions
Region-Specific versus Country-specific Poverty Lines in Analysis of Poverty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-Specific Uncertainty
Decomposition of country-specific corporate bond spreads
The world economy: global and country-specific aspects
Country-Specific Preferences and Employment Rates in Europe
Capital flows to emerging market and developing economies: Global liquidity and uncertainty versus country-specific pull factors
Capital flows to emerging market and developing economies: global liquidity and uncertainty versus country-specific pull factors
The evolving impact of global, region-specific and country-specific uncertainty
Common and country specific economic uncertainty
An impact of country-specific economic developments on ECB decisions
Region-Specific versus Country-specific Poverty Lines in Analysis of Poverty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-specific Uncertainty
Asymmetric Investment Responses to Firm-Specific Uncertainty
Decomposition of country-specific corporate bond spreads
The world economy: global and country-specific aspects
Country-Specific Preferences and Employment Rates in Europe
Capital flows to emerging market and developing economies: Global liquidity and uncertainty versus country-specific pull factors