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Abstract

Global uncertainty shocks are associated with a sharp decline in global inflation, growth andinterest rate. Global uncertainty shocks have more protracted, statistically significant and substantial effects on global growth, inflation and interest rate than U.S. uncertainty shocks. Whencontrolling for domestic uncertainty, the decline in output following a rise in global uncertaintyis statistically significant in each large country, except for the decline for China. For most economies, a positive shock to global uncertainty has a depressing effect on prices and official interestrates – exceptions are Brazil, Mexico and Russia, which are economies with large capital outflowsduring financial crises.

Item Type:	Article
Authors/Creators:	Kang, W and Ratti, RA and Vespignani, J
Keywords:	global, uncertainty shocks, monetary policy, FAVAR
Journal or Publication Title:	Applied Economics
Publisher:	Routledge Taylor & Francis Ltd
ISSN:	0003-6846
DOI / ID Number:	10.1080/00036846.2019.1690629
Copyright Information:	© 2019 Informa UK Limited, trading as Taylor & Francis Group
Related URLs:	Google Scholar: Vespignani, J UTAS Profile: Vespignani, J
Item Statistics:	View statistics for this item

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