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The global effects of global risk and uncertainty
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| Personen und Körperschaften: | , |
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| Titel: | The global effects of global risk and uncertainty/ Dario Bonciani, Martino Ricci |
| Format: | E-Book |
| Sprache: | Englisch |
| veröffentlicht: |
Frankfurt am Main, Germany
European Central Bank
[2018]
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| Gesamtaufnahme: |
Europäische Zentralbank: Working paper series ; no 2179 (September 2018)
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| Quelle: | Verbunddaten SWB Lizenzfreie Online-Ressourcen |
| Zusammenfassung: | In this paper, we analyse the effects of a shock to global fnancial uncertainty and risk aversion on real economic activity. To this end, we extract a global factor, which explains approximately 40% of the variance of about 1000 risky asset returns from around the world. We then study how shocks to the factor affect economic activity in 36 advanced and emerging small open economies by estimating local projections in a panel regression framework. We find the output responses to be quite heterogeneous across countries but, in general, negative and persistent. Furthermore, the effects of shocks to the global factor are stronger in countries with a higher degree of trade and/or financial openness, as well as in countries with higher levels of external debt, less developed financial sectors, and higher risk rating. |
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| Umfang: | 1 Online-Ressource (circa 44 Seiten); Illustrationen |
| ISBN: |
9789289932844
9289932848 |
| DOI: | 10.2866/718103 |