Global Macroeconomic Uncertainty
نویسندگان
چکیده
We measure global real and nominal macroeconomic uncertainty and analyze its impact on individual countries’ macroeconomic performance. Global uncertainty is measured through the conditional variances of global factors in inflation and output growth, estimated from a bivariate dynamic factor model with GARCH errors. The impact of global uncertainty is measured by including the conditional variances as regressors. We refer to this as a dynamic factor GARCH-in-mean model. Global real uncertainty spikes around the mid-70s and during the Great Recession. Global nominal uncertainty declines in the 90s and increases during the Great Recession. We find significant influence of global macroeconomic uncertainty on output growth and/or inflation in all countries of our sample except Germany. JEL classification: F44, C32
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