Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210423 
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 866
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several variables for a large number of countries and decompose the variance of each variable in terms of contributions from uncertainty common to all countries (global uncertainty), region-specific uncertainty and country-specific uncertainty. Among other findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation, interest rates and stock prices, although to a varying extent over time, while all uncertainty components are found to play a non-negligible role for real economic activity, credit and money for most countries.
Subjects: 
Dynamic Factor Model
Time-Varying Parameters
Stochastic Volatility
Uncertainty Shocks
Global Uncertainty
JEL: 
C15
C32
E32
Document Type: 
Working Paper

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