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【Yinlibo】Spillovers of Macroeconomic Uncertainty among Major Economies

作者:     日期:2015-03-09    来源:

For many years but especially following the late 1990s, global financial crisis have become a more frequent phenomenon. As the financial crises unfold in several stages, global macro-economy goes through wild fluctuations, with macroeconomic uncertainty spreading across countries at an unprecedented speed.

The attention on the macroeconomic effects of uncertainty has been recently reignited by Bloom's (2009). A number of studies have been proposed to quantify the impact of uncertainty shocks at a macroeconomic level (see e.g., Favero and Giavazzi, 2008; Alexopoulos and Cohen, 2009; Leduc and Liu, 2013). However, existing literature mainly focuses on the reaction of a set of US variables to a shock to the level of uncertainty affecting the US economy itself. Investigations documenting the existence of uncertainty spillovers onto other counties are relatively rare.

However, as the initial tremors in economy of each country are not confined to itself but spread to other countries as well, it is therefore important to obtain a measure of economic uncertainty spillovers across countries during financial crises.

Against this background, this paper asks the following question, such as “Are there spillovers from the U.S. economic uncertainty to other economies due to economic uncertainty shocks or vice versa?” To answer this question, we examine the extent of uncertainty spillovers across major economies since 1997 and compare the ongoing crisis with earlier episodes using a quantitative measure of such interdependence, namely spillover index, and associated tools that we call spillover tables and spillover plots.

Using the Diebold and Yilmaz (2012) spillover index methodology, this paper examines the behavior of macroeconomic uncertainty spillover across major economies. Using rolling sub-sample windows, we show that the spillover behaves differently over time, during crisis and non-crisis episodes. Spillover plots display no trend but clear bursts, and reach the highest level during the 2008 global financial crisis. Pinpointing the factors that cause the change in uncertainty spillovers among major economies or channels for uncertainty contagion would be an interesting line of future research.