Global financial uncertainty
用动态因子模型测算全球金融不确定性，通过VAR分析发现，若无此冲击，大衰退期间全球产出收缩会减轻13%，并证实了全球金融不确定性乘数效应。
Summary We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country‐specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set identification via a combination of narrative, sign, ratio, and correlation restrictions. We find that the contraction in world output during the Great Recession would have been 13% milder in absence of GFU shocks. We also find support for a global finance uncertainty multiplier: the more global financial conditions deteriorate after a GFU shock, the larger the world output contraction is.