Arbeitspapier
Global uncertainty
We estimate a novel measure of global Önancial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-speciÖc factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identiÖcation via a combination of narrative, sign, ratio, and correlation restrictions. We Önd 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 Önance uncertainty multiplier: the more global Önancial conditions deteriorate after GFU shocks, the larger the world output contraction is.
- ISBN
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978-952-323-365-2
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Finland Research Discussion Papers ; No. 1/2021
- Classification
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Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Subject
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Global Financial Uncertainty
dynamic hierarchical factor model
structural VAR
world output loss
global finance uncertainty multiplier
- Event
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Geistige Schöpfung
- (who)
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Caggiano, Giovanni
Castelnuovo, Efrem
- Event
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Veröffentlichung
- (who)
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Bank of Finland
- (where)
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Helsinki
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caggiano, Giovanni
- Castelnuovo, Efrem
- Bank of Finland
Time of origin
- 2021
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