Arbeitspapier
Global Uncertainty
We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We also unveil the existence of a global finance uncertainty multiplier: the more global financial conditions deteriorate after GFU shocks, the larger the world output contraction is.
- Sprache
-
Englisch
- Erschienen in
-
Series: CESifo Working Paper ; No. 8885
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Thema
-
Global Financial Uncertainty
dynamic hierarchical factor model
structural VAR
world output loss
global finance uncertainty multiplier
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Caggiano, Giovanni
Castelnuovo, Efrem
- Ereignis
-
Veröffentlichung
- (wer)
-
Center for Economic Studies and Ifo Institute (CESifo)
- (wo)
-
Munich
- (wann)
-
2021
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 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
- Caggiano, Giovanni
- Castelnuovo, Efrem
- Center for Economic Studies and Ifo Institute (CESifo)
Entstanden
- 2021
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