The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty | PERPUSTAKAAN UNIVERSITAS KATOLIK PARAHYANGAN

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The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty

Mumtaz, Haroon - Nama Orang; Musso, Alberto - Nama Orang;

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it using a large panel of macroeconomic and financial data for 22 countries and decompose the variance of each variable in terms of contributions from uncertainty common to all countries (“global uncertainty”), region-specific uncertainty, and country-specific uncertainty. Among other findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation, interest rates, and stock prices, although to a varying extent over time, while all uncertainty components are found to play a nonnegligible role for real economic activity, credit, and money for most countries.

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Barcode		Tipe Koleksi	Nomor Panggil	Lokasi	Status
art139675	null	Artikel		Gdg9-Lt3	Tersedia namun tidak untuk dipinjamkan - No Loan

Informasi Detail

Judul Seri: JOURNAL OF BUSINESS AND ECONOMIC STATISTICS; Vol.39 No.2 April 2021
No. Panggil: -
Penerbit: : .,
Deskripsi Fisik: p. 466-481
Bahasa: English
ISBN/ISSN: -
Klasifikasi: NONE
Tipe Isi: -
Tipe Media: -
Tipe Pembawa: -
Edisi: -
Subjek: DYNAMIC FACTOR MODEL
TIME-VARYING PARAMETERS
STOCHASTIC VOLATILITY
UNCERTAINTY SHOCKS
GLOBAL UNCERTAINTY
Info Detail Spesifik: -
Pernyataan Tanggungjawab: Haroon Mumtaz, Alberto Musso

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