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Spillovers of macroeconomic uncertainty among major economies

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  • Libo Yin
  • Liyan Han

Abstract

Using the forecast error variance decomposition from a vector auto-regression, this article examines both average and time-varying spillovers of macroeconomic uncertainty across major economies since 1997 and compares the ongoing crisis with earlier episodes. We show that spillover effects of macroeconomic uncertainty across major economies display no trend but clear bursts and reach its respective peaks during the 2008 global financial crisis, which attests to the severity of the current episode.

Suggested Citation

  • Libo Yin & Liyan Han, 2014. "Spillovers of macroeconomic uncertainty among major economies," Applied Economics Letters, Taylor & Francis Journals, vol. 21(13), pages 938-944, September.
    • Handle: RePEc:taf:apeclt:v:21:y:2014:i:13:p:938-944
    DOI: 10.1080/13504851.2014.899665
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    References listed on IDEAS

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    1. Michelle Alexopoulos & Jon Cohen, 2009. "Uncertain Times, uncertain measures," Working Papers tecipa-352, University of Toronto, Department of Economics.
    2. Carlo Favero & Francesco Giavazzi, 2008. "Should the Euro Area Be Run as a Closed Economy?," American Economic Review, American Economic Association, vol. 98(2), pages 138-145, May.
    3. Leduc, Sylvain & Liu, Zheng, 2016. "Uncertainty shocks are aggregate demand shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 20-35.
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