کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5100956 1479079 2017 25 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Common and country specific economic uncertainty
ترجمه فارسی عنوان
عدم تعین اقتصادی خاص و کشور خاص
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
We use a factor model with stochastic volatility to decompose the time-varying variance of macroeconomic and financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more important over the last decade. Simulations from a two-country DSGE model featuring Epstein-Zin preferences suggest that increased globalisation and trade openness may be the driving force behind the increased cross-country correlation in volatility.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Economics - Volume 105, March 2017, Pages 205-216
نویسندگان
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