The Asymmetric Effects of Uncertainty Shocks
نویسندگان
چکیده
منابع مشابه
The macroeconomic effects of international uncertainty shocks
We propose a large-scale Bayesian VAR model with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks on the G7 countries. The factor structure enables us to identify an international uncertainty shock by assuming that it is the factor most correlated with forecast errors related to equity markets and permits fast sampling of the model. ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3666607