Measuring Global Macroeconomic Uncertainty

Quaderni - Working Paper DSE N° 1148

49 Pages Posted: 8 Jul 2020

See all articles by Graziano Moramarco

Graziano Moramarco

University of Bologna - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: June 11, 2020

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.

Keywords: Global uncertainty, uncertainty index, GVAR, spillovers, bootstrap

JEL Classification: C15, C32, E17, D80, F44, G15

Suggested Citation

Moramarco, Graziano, Measuring Global Macroeconomic Uncertainty (June 11, 2020). Quaderni - Working Paper DSE N° 1148, Available at SSRN: https://ssrn.com/abstract=3627460 or http://dx.doi.org/10.2139/ssrn.3627460

Graziano Moramarco (Contact Author)

University of Bologna - Department of Economics

Piazza Scaravilli 2
Bologna, 40126
Italy

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