Uncertainty shocks in emerging economies: A global to local approach for identification
研究了不确定性冲击对15个小型新兴经济体的影响，发现其导致GDP、股价和本币大幅下降，且衰退效应强于发达经济体；若无此类冲击，2008-2009年危机中GDP降幅可缓和约2%。
The paper investigates the effects of uncertainty shocks in emerging economies (EMEs). I construct novel measures of uncertainty for fifteen small EMEs and to address endogeneity I instrument them with fluctuations in global uncertainty. My results show that uncertainty shocks have substantial contractionary effects on GDP, stock prices and local currencies and the recessionary effect is much stronger in EMEs compared to advanced economies (AEs). I also estimate a negative co-movement between prices and output which triggers a delayed monetary tightening in correspondence to the inflationary peak. Counterfactual scenarios reveal that in the absence of uncertainty shocks, the fall in GDP recorded in EMEs during the 2008–2009 crisis would have been attenuated by around 2%.