2.44 MB, PDF document
Research output: Working paper
Research output: Working paper
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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 -