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
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کلمات کلیدی
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
Journal: Journal of International Economics - Volume 105, March 2017, Pages 205-216
نویسندگان
Haroon Mumtaz, Konstantinos Theodoridis,