Global macroeconomic uncertainty

Berger, Tino; Grabert, Sibylle; Kempa, Bernd

doi:10.1016/j.jmacro.2017.05.005

Cited by 40 publications

(19 citation statements)

References 31 publications

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“…Charemza et al (2015) suggest a new measure of inflation forecast uncertainty that accounts for possible inter-country dependence. Berger and Herz (2014) measure global uncertainty as the conditional variances of global factors in inflation and output growth in a bivariate dynamic factor model with GARCH errors for the nine industrialized countries; Canada, France,Germany,Italy,Japan,4 An important thread in the literature is that uncertainty faced by the individual firm is embodied in its own stock price volatility (Leahy and Whited (1996), Bloom (2009), Bloom et al (2007) and Baum et al (2010)), among others.…”

Section: Introductionmentioning

confidence: 99%

The Impact of Global Uncertainty on the Global Economy, and Large Developed and Developing Economies

Kang¹,

Ratti

Vespignani

2017

SSRN Journal

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Global uncertainty shocks are associated with a sharp decline in global inflation, global growth and in the global interest rate. Over 1981 to 2014 global financial uncertainty forecasts 18.26% and 14.95% of the variation in global growth and global inflation respectively. Global uncertainty shocks have more protracted, statistically significant and substantial effects on global growth, inflation and interest rate than U.S. uncertainty shocks. U.S. uncertainty lags global uncertainty by one month. When controlling for domestic uncertainty, the decline in output following a rise in global uncertainty is statistically significant in each country, with the exception of the decline for China. The effects for the U.S. and for China are also relatively small. For most economies, a positive shock to global uncertainty has a depressing effect on prices and official interest rates. Exceptions are Brazil, Mexico and Russia, economies with large capital outflows during financial crises. Decomposition of global uncertainty shocks shows that global financial uncertainty shocks are more important than non-financial shocks.

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Section: Introductionmentioning

confidence: 99%

The Impact of Global Uncertainty on the Global Economy, and Large Developed and Developing Economies

Kang¹,

Ratti

Vespignani

2017

SSRN Journal

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“…Since Baker et al (2016) indexes are based on the uncertainty‐related keyword search on main newspapers, these news‐based indexes often experience large spikes during non‐recessionary episodes. More recent studies have used Ozturk and Sheng (2018) measure, which captures the perceived uncertainty of market participants and derives two components that are shown to exhibit strikingly different behaviours (see Berger, Grabert, & Kempa, 2017). Because Baker et al (2016) indexes are limited to developing countries, this study tends to employ Ozturk and Sheng (2018) index for capturing the economic uncertainty of both developing and developed countries for the appropriate estimation.…”

Section: Methodsmentioning

confidence: 99%

“…Finally, an index of global uncertainty is proposed, which is a rather new concept in the literature. As such rich information set of perceived uncertainty for market participants, this measure of global economic uncertainty is more comprehensive than that of Berger et al (2017) and Hirata, Kose, Otrok, and Terrones (2012), but not more comprehensive than that of Ahir, Bloom, and Furceri (2018). The measure of Ahir et al (2018) is based on frequency counts of the word uncertainty from the country reports of the Economic Intelligence Unit for 143 countries.…”

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confidence: 98%

Economic uncertainty, ownership structure and small and medium enterprises performance

Doan

Tran

2020

Australian Economic Papers

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This paper investigates the effect of economic uncertainty on the performance of small and medium enterprises (SMEs) over the period 2007-2016. This paper also examines the effects of ownership structure on the relation between Economic Uncertainty and firm performance. We find that an increase in economic uncertainty is negatively associated with the performance of SMEs. Our results also reveal that increased economic uncertainty is associated with a lower performance level for state-owned SMEs, whereas foreign-owned SMEs can better mitigate the negative impact of on their performance than domestic-owned firms.

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“…With globalization, spikes in uncertainty may even attain a global dimension (Berger et al, 2017). In subsection 3.3 we developed a global uncertainty indicator as a common factor extracted from a broad set of forecast indicators.…”

Section: Gdp Cons Invmentioning

confidence: 99%

Transmission of uncertainty shocks: Learning from heterogeneous responses on a panel of EU countries

Claeys

Vašíček

2019

International Review of Economics & Finance

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The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributors, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Division. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.

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Global macroeconomic uncertainty

Cited by 40 publications

References 31 publications

The Impact of Global Uncertainty on the Global Economy, and Large Developed and Developing Economies

The Impact of Global Uncertainty on the Global Economy, and Large Developed and Developing Economies

Economic uncertainty, ownership structure and small and medium enterprises performance

Transmission of uncertainty shocks: Learning from heterogeneous responses on a panel of EU countries

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