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Global and Country‐Specific Output Growth Uncertainty and Macroeconomic Performance

We identify global and country‐specific measures of output growth uncertainty for a large OECD country sample by means of a dynamic factor model with stochastic volatility. We find evidence for major bouts of global uncertainty in the early 1970s and late 2000s, and a number of periods with... Full description

1st Person: Berger, Tino
Additional Persons: Grabert, Sibylle; Kempa, Bernd
Source: in Oxford bulletin of economics and statistics Vol. 78, No. 5 (2016), p. 694-716
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Type of Publication: Article
Language: English
Published: 2016
Online: Volltext
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