Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers

Econometrics 2023, 11(1), 2.

29 Pages Posted: 26 May 2021 Last revised: 19 Jan 2024

See all articles by Graziano Moramarco

Graziano Moramarco

University of Bologna - Department of Economics

Date Written: December 28, 2022

Abstract

We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty between countries using a global vector autoregressive (GVAR) model. Over the period 2000Q1–2020Q4, our global index is able to summarize a variety of uncertainty measures, such as financial-market volatility, economic-policy uncertainty, survey-forecast-based measures and econometric measures of macroeconomic uncertainty, showing major peaks during both the global financial crisis and the COVID-19 pandemic. Global spillover effects are quantified through a novel GVAR-based decomposition of country-level uncertainty into the contributions from all countries in the global model. We show that this approach produces estimates of uncertainty spillovers which are strongly related to the structure of the global economy.

Keywords: global uncertainty; uncertainty index; GVAR; spillovers; bootstrap

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

Suggested Citation

Moramarco, Graziano, Measuring Global Macroeconomic Uncertainty and Cross-Country Uncertainty Spillovers (December 28, 2022). Econometrics 2023, 11(1), 2., Available at SSRN: https://ssrn.com/abstract=3852987 or http://dx.doi.org/10.2139/ssrn.3852987

Graziano Moramarco (Contact Author)

University of Bologna - Department of Economics

Piazza Scaravilli 2
Bologna, 40126
Italy

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
112
Abstract Views
546
Rank
504,393
PlumX Metrics