Measuring Global and Country-Specific Uncertainty - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring Global and Country-Specific Uncertainty write by Ezgi O. Ozturk. This book was released on 2017-10-30. Measuring Global and Country-Specific Uncertainty available in PDF, EPUB and Kindle. Motivated by the literature on the capital asset pricing model, we decompose the uncertainty of a typical forecaster into common and idiosyncratic uncertainty. Using individual survey data from the Consensus Forecasts over the period of 1989-2014, we develop monthly measures of macroeconomic uncertainty covering 45 countries and construct a measure of global uncertainty as the weighted average of country-specific uncertainties. Our measure captures perceived uncertainty of market participants and derives from two components that are shown to exhibit strikingly different behavior. Common uncertainty shocks produce the large and persistent negative response in real economic activity, whereas the contributions of idiosyncratic uncertainty shocks are negligible.
Measuring Uncertainty and Its Impact on a Small Open Economy
Measuring Uncertainty and Its Impact on a Small Open Economy - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring Uncertainty and Its Impact on a Small Open Economy write by Lucy Greig. This book was released on 2018. Measuring Uncertainty and Its Impact on a Small Open Economy available in PDF, EPUB and Kindle. We study the effect of uncertainty in New Zealand, a small open economy, by considering global and New Zealand-specific uncertainty proxies, including several US- and global-centric measures and two novel New Zealand-specific uncertainty proxies constructed using surveys of New Zealand firms and professional forecasters. We study the effect of uncertainty on a set of New Zealand macroeconomic variables. While all of the uncertainty proxies contain valuable information to understand macroeconomic fluctuations in New Zealand, a simple SVAR analysis suggests that global uncertainty is more important than domestic uncertainty in driving the New Zealand business cycle. The implications of uncertainty for monetary policy largely depend on how heightened uncertainty interacts with monetary policy objectives.
Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters
Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters write by Michael Pfarrhofer. This book was released on 2019. Measuring International Uncertainty Using Global Vector Autoregressions with Drifting Parameters available in PDF, EPUB and Kindle. This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive (GVAR) specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is constructed endogenously by estimating a scalar driving the innovation variances of the latent factors, and is included also in the mean of the process. To achieve regularization, we use Bayesian techniques for estimation, and introduce a set of hierarchical global-local shrinkage priors. The adopted priors center the model on a constant parameter specification with homoscedastic errors, but allow for time-variation if suggested by likelihood information. Moreover, we assume coefficients across economies to be similar, but provide sufficient flexibility via the hierarchical prior for country-specific idiosyncrasies. The results point towards pronounced real and financial effects of uncertainty shocks in all countries, with differences across economies and over time.
Forecast Errors and Uncertainty Shocks
Forecast Errors and Uncertainty Shocks - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Forecast Errors and Uncertainty Shocks write by Sylwia Nowak. This book was released on 2016-11-17. Forecast Errors and Uncertainty Shocks available in PDF, EPUB and Kindle. Macroeconomic forecasts are persistently too optimistic. This paper finds that common factors related to general uncertainty about U.S. macrofinancial prospects and global demand drive this overoptimism. These common factors matter most for advanced economies and G- 20 countries. The results suggest that an increase in uncertainty-driven overoptimism has dampening effects on next-year real GDP growth rates. This implies that incorporating the common structure governing forecast errors across countries can help improve subsequent forecasts.
Domestic and Global Uncertainty
Domestic and Global Uncertainty - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Domestic and Global Uncertainty write by Efrem Castelnuovo. This book was released on 2019. Domestic and Global Uncertainty available in PDF, EPUB and Kindle. This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part proposes a novel measure of global financial uncertainty and shows that its unexpected variations are associated to statistically and economically fluctuations of the world business cycle.
