000			03565cam a22003737 4500
001			w24325
003			NBER
005			20211020104634.0
006			m o d
007			cr cnu||||||||
008			210910s2018 mau fo 000 0 eng d
100	1		_aCesa-Bianchi, Ambrogio.
245	1	0	_aUncertainty and Economic Activity: _bA Multi-Country Perspective / _cAmbrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c2018.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w24325
500			_aFebruary 2018.
520	3		_aMeasures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper proposes a new multi-country approach to the analysis of the interaction between uncertainty and economic activity, without a priori restricting the direction of causality. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to common technology shocks that affect output growth, higher-order moments of technology shocks are also required to explain the cross country variations of the realized volatility of equity returns. Using this theoretical insight, two common factors, a 'real' and a 'financial' one, are identified in the empirical analysis assuming different patterns of cross-country correlations of country-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of the common factor shocks as well as country-specific volatility and GDP growth shocks. The paper highlights three main empirical findings. First, it is shown that most of the unconditional correlation between volatility and growth can be accounted for by the real common factor, which is proportional to world growth in our empirical model and linked to the risk-free rate. Second, the share of volatility forecast error variance explained by the real common factor and by country-specific growth shocks amounts to less than 5 percent. Third, shocks to the common financial factor explain about 10 percent of the growth forecast error variance, but when such shocks occur, their negative impact on growth is large and persistent. In contrast, country-specific volatility shocks account for less than 1-2 percent of the growth forecast error variance.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aE44 - Financial Markets and the Macroeconomy _2Journal of Economic Literature class.
690		7	_aF44 - International Business Cycles _2Journal of Economic Literature class.
690		7	_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class.
690		7	_aG15 - International Financial Markets _2Journal of Economic Literature class.
700	1		_aPesaran, M. Hashem. _918454
700	1		_aRebucci, Alessandro. _919208
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w24325.
856	4	0	_uhttps://www.nber.org/papers/w24325
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w24325
942			_2ddc _cW-PAPER
999			_c323797 _d282359