Global and Country‐Specific Output Growth Uncertainty and Macroeconomic Performance
利用动态因子模型和随机波动率，识别了OECD国家产出增长不确定性的全球和国家特定成分，发现全球不确定性是宏观经济表现的主要驱动因素，主要通过投资和贸易渠道传导。
Abstract We identify global and country‐specific measures of output growth uncertainty for a large OECD country sample by means of a dynamic factor model with stochastic volatility. We find evidence for major bouts of global uncertainty in the early 1970s and late 2000s, and a number of periods with elevated levels of either global or national uncertainty, particularly in the early 1980s, 1990s and 2000s. VAR impulse responses of national macroeconomic variables to our estimated measures of uncertainty reveal that global uncertainty is the major driver of macroeconomic performance in most countries, whereas the impact of national uncertainty is small and frequently insignificant. We also find that uncertainty is transmitted primarily through investment and trade flows rather than through consumption demand.