IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-032-00110-8_6.html
   My bibliography  Save this book chapter

International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach

In: Recent Developments in Bayesian Econometrics and Their Applications

Author

Listed:
  • Jamie L. Cross

    (The University of Melbourne, Melbourne Business School)

  • Chenghan Hou

    (Hunan University)

  • Aubrey Poon

    (University of Kent)

Abstract

We propose a vector autoregression with common stochastic volatility in mean (VAR-CSVM) dynamics to estimate the transmission of domestic and international sources of macroeconomic uncertainty shocks in three small open economies (SOEs): Australia, Canada, and New Zealand. We find evidence that international uncertainty spillovers shape the macroeconomic conditions in all three SOEs; that domestic uncertainty shocks have idiosyncratic transmission mechanisms in each SOE; and that accounting for uncertainty within the VAR-CSVM improves point and density forecast accuracy compared to the nested VAR-CSV and homoscedastic VAR models.

Suggested Citation

  • Jamie L. Cross & Chenghan Hou & Aubrey Poon, 2025. "International Transmission of Macroeconomic Uncertainty in Small Open Economies: An Empirical Approach," Springer Books, in: Stepan Mazur & Pär Österholm (ed.), Recent Developments in Bayesian Econometrics and Their Applications, pages 89-115, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-00110-8_6
    DOI: 10.1007/978-3-032-00110-8_6
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-032-00110-8_6. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.