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Uncertainty shocks in emerging economies: a global to local approach for identification

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Uncertainty shocks in emerging economies: a global to local approach for identification. / Miescu, Mirela.
In: European Economic Review, Vol. 154, 104437, 31.05.2023.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Miescu, M 2023, 'Uncertainty shocks in emerging economies: a global to local approach for identification', European Economic Review, vol. 154, 104437. https://doi.org/10.1016/j.euroecorev.2023.104437

APA

Miescu, M. (2023). Uncertainty shocks in emerging economies: a global to local approach for identification. European Economic Review, 154, Article 104437. https://doi.org/10.1016/j.euroecorev.2023.104437

Vancouver

Miescu M. Uncertainty shocks in emerging economies: a global to local approach for identification. European Economic Review. 2023 May 31;154:104437. Epub 2023 Mar 29. doi: 10.1016/j.euroecorev.2023.104437

Author

Miescu, Mirela. / Uncertainty shocks in emerging economies : a global to local approach for identification. In: European Economic Review. 2023 ; Vol. 154.

Bibtex

@article{152de9c86d094c748881e50334957b91,
title = "Uncertainty shocks in emerging economies: a global to local approach for identification",
abstract = "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%.",
keywords = "Uncertainty shocks, Panel VAR, Instrumental variables, Emerging economies",
author = "Mirela Miescu",
year = "2023",
month = may,
day = "31",
doi = "10.1016/j.euroecorev.2023.104437",
language = "English",
volume = "154",
journal = "European Economic Review",
issn = "0014-2921",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Uncertainty shocks in emerging economies

T2 - a global to local approach for identification

AU - Miescu, Mirela

PY - 2023/5/31

Y1 - 2023/5/31

N2 - 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%.

AB - 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%.

KW - Uncertainty shocks

KW - Panel VAR

KW - Instrumental variables

KW - Emerging economies

U2 - 10.1016/j.euroecorev.2023.104437

DO - 10.1016/j.euroecorev.2023.104437

M3 - Journal article

VL - 154

JO - European Economic Review

JF - European Economic Review

SN - 0014-2921

M1 - 104437

ER -