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

Research output: Working paper

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Uncertainty shocks in emerging economies : a global to local approach for identification. / Miescu, Mirela.

Lancaster : Lancaster University, Department of Economics, 2019. (Economics Working Papers Series).

Research output: Working paper

Harvard

Miescu, M 2019 'Uncertainty shocks in emerging economies: a global to local approach for identification' Economics Working Papers Series, Lancaster University, Department of Economics, Lancaster.

APA

Miescu, M. (2019). Uncertainty shocks in emerging economies: a global to local approach for identification. (Economics Working Papers Series). Lancaster University, Department of Economics.

Vancouver

Miescu M. Uncertainty shocks in emerging economies: a global to local approach for identification. Lancaster: Lancaster University, Department of Economics. 2019 Oct. (Economics Working Papers Series).

Author

Miescu, Mirela. / Uncertainty shocks in emerging economies : a global to local approach for identification. Lancaster : Lancaster University, Department of Economics, 2019. (Economics Working Papers Series).

Bibtex

@techreport{e70dd34558c64914b5738a5e297e302b,
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).We construct a global uncertainty indicator as well as country uncertainty measures for fifteen relatively small emerging economies. We adopt an instrumental variable approach to identify exogenous uncertainty shocks in the EMEs. To deal with the data limitations specific to emerging countries, we develop a new Bayesian algorithm to estimate a proxy panel structuralvector autoregressive (SVAR) model. We find that uncertainty shocks in EMEs cause severe falls in GDP and stock price indexes, generate inflation, depreciate the currency and are not followed by a subsequent overshoot in activity. Estimation implies considerable heterogeneity across economies in the response to uncertainty shocks which can be (in part) explained by country characteristics.",
keywords = "Uncertainty shocks, proxy SVAR, Emerging economies, Panel data",
author = "Mirela Miescu",
year = "2019",
month = oct,
language = "English",
series = "Economics Working Papers Series",
publisher = "Lancaster University, Department of Economics",
type = "WorkingPaper",
institution = "Lancaster University, Department of Economics",

}

RIS

TY - UNPB

T1 - Uncertainty shocks in emerging economies

T2 - a global to local approach for identification

AU - Miescu, Mirela

PY - 2019/10

Y1 - 2019/10

N2 - The paper investigates the effects of uncertainty shocks in emerging economies (EMEs).We construct a global uncertainty indicator as well as country uncertainty measures for fifteen relatively small emerging economies. We adopt an instrumental variable approach to identify exogenous uncertainty shocks in the EMEs. To deal with the data limitations specific to emerging countries, we develop a new Bayesian algorithm to estimate a proxy panel structuralvector autoregressive (SVAR) model. We find that uncertainty shocks in EMEs cause severe falls in GDP and stock price indexes, generate inflation, depreciate the currency and are not followed by a subsequent overshoot in activity. Estimation implies considerable heterogeneity across economies in the response to uncertainty shocks which can be (in part) explained by country characteristics.

AB - The paper investigates the effects of uncertainty shocks in emerging economies (EMEs).We construct a global uncertainty indicator as well as country uncertainty measures for fifteen relatively small emerging economies. We adopt an instrumental variable approach to identify exogenous uncertainty shocks in the EMEs. To deal with the data limitations specific to emerging countries, we develop a new Bayesian algorithm to estimate a proxy panel structuralvector autoregressive (SVAR) model. We find that uncertainty shocks in EMEs cause severe falls in GDP and stock price indexes, generate inflation, depreciate the currency and are not followed by a subsequent overshoot in activity. Estimation implies considerable heterogeneity across economies in the response to uncertainty shocks which can be (in part) explained by country characteristics.

KW - Uncertainty shocks

KW - proxy SVAR

KW - Emerging economies

KW - Panel data

M3 - Working paper

T3 - Economics Working Papers Series

BT - Uncertainty shocks in emerging economies

PB - Lancaster University, Department of Economics

CY - Lancaster

ER -