Fluctuations in global output volatility
通过分层波动因子模型和贝叶斯模型平均，研究了全球主要经济体产出波动的动态、溢出效应和决定因素，发现发展中国家波动协同性更高，而发达国家波动冲击更不对称，且国内货币政策对波动影响显著但作用随时间减弱。
In this paper, we dissect the time-varying output volatility of the main world economies to study its dynamics, spillovers, and determinants, from a global perspective. Our analysis relies on a hierarchical volatility factor model and Bayesian model averaging. We show that the increasing comovement observed in international macroeconomic volatility is substantially larger in developing than in developed countries. Instead, developed countries have exhibited more asymmetric volatility shocks than developing countries in recent times. We also show that, although the downward trend in global volatility is related with increasing trade, idiosyncratic changes in volatility are highly influenced by domestic monetary policies. However, due to the declining role played by these idiosyncratic components over time, policymakers currently face greater constraints when it comes to stabilizing output fluctuations.