Common and country specific economic uncertainty

• 成果类型: Article
• 署名作者: Mumtaz, Haroon; Theodoridis, Konstantinos
• 署名单位: University of London; Queen Mary University London
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.01.007
• 发表日期: 2017
• 页码: 205-216
• 关键词: FAVAR; stochastic volatility; uncertainty shocks; DSGE model

摘要

We use a factor model with stochastic volatility to decompose the time-varying variance of macroeconomic and financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more important over the last decade. Simulations from a two-country DSGE model featuring Epstein-Zin preferences suggest that increased globalisation and trade openness may be the driving force behind the increased cross-country correlation in volatility. (C) 2017 Elsevier B.V. All rights reserved.