arXiv 17 Aug 2019 · Econometrics · publishedMacroeconomic Dynamics (2022) · 4 citations (OpenAlex)
arXiv:1908.06325 · PDF · DOI · OpenAlex · Extracted main text
This paper investigates the time-varying impacts of international macroeconomic uncertainty shocks. We use a global vector autoregressive specification with drifting coefficients and factor stochastic volatility in the errors to model six economies jointly. The measure of uncertainty is constructed endogenously by estimating a scalar driving the innovation variances of the latent factors, which is also included in the mean of the process. To achieve regularization, we use Bayesian techniques for estimation, and introduce a set of hierarchical global-local priors. The adopted priors center the model on a constant parameter specification with homoscedastic errors, but allow for time-variation if suggested by likelihood information. Moreover, we assume coefficients across economies to be similar, but provide sufficient flexibility via the hierarchical prior for country-specific idiosyncrasies. The results point towards pronounced real and financial effects of uncertainty shocks in all countries, with differences across economies and over time.
appendix boundary found by appendix_command · 77% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Crespo Cuaresma J, Huber F, and Onorante L (2017) Fragility and the spillovers of international uncertainty shocks | 1.000 | 5 | 3 | 100% |
| 2 | Mumtaz H, and Theodoridis K (2018) The Changing Transmission of Uncertainty Shocks in the U.S | 0.874 | 5 | 2 | 100% |
| 3 | Mumtaz H, and Musso A (2019) The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty | 0.874 | 5 | 2 | 100% |
| 4 | Alessandri P, and Mumtaz H (2019) Financial regimes and uncertainty shocks | 0.811 | 4 | 2 | 100% |
| 5 | Frühwirth-Schnatter S, and Wagner H (2010) Stochastic model specification search for Gaussian and partial non-Gaussian state space models | 0.811 | 4 | 2 | 100% |
| 6 | Bloom N (2009) The Impact of Uncertainty Shocks | 0.811 | 4 | 2 | 100% |
| 7 | Diebold FX, and Li C (2006) Forecasting the term structure of government bond yields | 0.737 | 3 | 2 | 100% |
| 8 | Pesaran MH, Schuermann T, and Weiner SM (2004) Modeling regional interdependencies using a global error-correcting macroeconometric model | 0.737 | 3 | 2 | 100% |
| 9 | Bitto A, and Frühwirth-Schnatter S (2019) Achieving shrinkage in a time-varying parameter model framework | 0.737 | 3 | 2 | 100% |
| 10 | Carriero A, Clark TE, and Marcellino M (2018) b), Measuring Uncertainty and Its Impact on the Economy | 0.737 | 3 | 2 | 100% |
Showing the top 10 of 55 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Integration or fragmentation? A closer look at euro area financial markets | 0.000 | 1 | 1 |