Global and Country‐Specific Output Growth Uncertainty and Macroeconomic Performance |
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| Authors: | Tino Berger Sibylle Grabert Bernd Kempa |
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| Affiliation: | 1. Department of Economics, University of Goettingen, Germany;2. Federal Ministry for Economic Affairs and Energy, Scharnhorststr, Germany;3. Department of Economics, University of Muenster, Muenster, Germany |
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| Abstract: | We identify global and country‐specific measures of output growth uncertainty for a large OECD country sample by means of a dynamic factor model with stochastic volatility. We find evidence for major bouts of global uncertainty in the early 1970s and late 2000s, and a number of periods with elevated levels of either global or national uncertainty, particularly in the early 1980s, 1990s and 2000s. VAR impulse responses of national macroeconomic variables to our estimated measures of uncertainty reveal that global uncertainty is the major driver of macroeconomic performance in most countries, whereas the impact of national uncertainty is small and frequently insignificant. We also find that uncertainty is transmitted primarily through investment and trade flows rather than through consumption demand. |
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