Measuring Global Macroeconomic Uncertainty

Moramarco, Graziano (2020) Measuring Global Macroeconomic Uncertainty. Bologna: Dipartimento di Scienze economiche, p. 47. DOI 10.6092/unibo/amsacta/6404. In: Quaderni - Working Paper DSE (1148). ISSN 2282-6483.
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Abstract

This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from parameter uncertainty in the GVAR. Relying on the error correction representation of the model, we distinguish between measures of short-run and long-run uncertainty. Over the period 2000Q1-2016Q4, global short-run macroeconomic uncertainty strongly co-moves with financial market volatility, while long-run uncertainty is more highly correlated with economic policy uncertainty. We quantify global spillover effects by decomposing uncertainty into the contributions from individual countries. On average, over 40% of country-specific uncertainty is of foreign origin.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Moramarco, GrazianoUniversity of Bologna0000-0003-4476-4267
Keywords
global uncertainty, uncertainty index, GVAR, spillovers, bootstrap
Subjects
ISSN
2282-6483
DOI
Deposit date
16 Jun 2020 11:56
Last modified
16 Jun 2020 11:56
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