The evolving impact of global, region-specific and country-specific uncertainty
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- Haroon Mumtaz & Alberto Musso, 2021. "The Evolving Impact of Global, Region-Specific, and Country-Specific Uncertainty," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(2), pages 466-481, March.
- Mumtaz, Haroon & Musso, Alberto, 2018. "The evolving impact of global, region-specific and country-specific uncertainty," Working Paper Series 2147, European Central Bank.
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More about this item
Keywords
Dynamic Factor Model; Time-Varying Parameters; Stochastic Volatility; Uncertainty Shocks; Global Uncertainty;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2018-10-08 (Econometric Time Series)
- NEP-MAC-2018-10-08 (Macroeconomics)
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