Uncertainty and Economic Activity: A Multicountry Perspective

• 成果类型: Article
• 署名作者: Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, Alessandro
• 署名单位: Bank of England; University of Southern California; University of Cambridge; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz098
• 发表日期: 2020
• 页码: 3393
• 关键词: business cycles; long-run; shocks; aggregation; volatility; dependence; arbitrage; GROWTH; IMPACT; risks

摘要

We develop an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multicountry panel VAR in volatility and output growth. The econometric estimates yield three sets of empirical results about (1) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VAR studies, (2) the extent to which output shocks drive volatility, and (3) the transmission of volatility shocks to output growth.