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Estimating the effects of global uncertainty in open economies

Author

Listed:
  • Silvia Delrio

    (Ca' Foscari University of Venice, Department of Economics)

Abstract
This paper investigates the effects of a global uncertainty shock in open economies and the role of country relative risk exposure in the transmission of the shock. We employ an Interacted VAR model to take the time- varying dimension of country relative risk exposure into account. Evidence of nonlinearities in the real effects of a global uncertainty shock is found. The reduction in real activity is larger when the country is more exposed to aggregate risk. These findings support recent theoretical contributions on the role of risk exposure in the transmission of uncertainty shocks.

Suggested Citation

  • Silvia Delrio, 2016. "Estimating the effects of global uncertainty in open economies," Working Papers 2016:19, Department of Economics, University of Venice "Ca' Foscari".
    • Handle: RePEc:ven:wpaper:2016:19
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    References listed on IDEAS

    as
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    Cited by:

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    2. Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
    3. Youngju Kim & Hyunjoon Lim, 2018. "Which External Shock Matters in Small Open Economies? US Economic Policy Uncertainty vs. Global Risk Aversion," Working Papers 2018-29, Economic Research Institute, Bank of Korea.

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    More about this item

    Keywords

    Global uncertainty shocks; Country relative riskiness; International analysis; Interacted VAR; Generalized Impulse Response Functions;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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