Assessing international commonality in macroeconomic uncertainty and its effects
用大型向量自回归模型测量国际宏观经济不确定性，发现各国宏观经济波动存在显著共性，全球不确定性上升会降低产出和股价、恶化劳动力市场，并导致部分经济体放松货币政策。
Summary This paper uses a large vector autoregression to measure international macroeconomic uncertainty and its effects on major economies. We provide evidence of significant commonality in macroeconomic volatility, with one common factor driving strong comovement across economies and variables. We measure uncertainty and its effects with a large model in which the error volatilities feature a factor structure containing time‐varying global components and idiosyncratic components. Global uncertainty contemporaneously affects both the levels and volatilities of the included variables. Our new estimates of international macroeconomic uncertainty indicate that surprise increases in uncertainty reduce output and stock prices, adversely affect labor market conditions, and in some economies lead to an easing of monetary policy.