Template-Type: ReDIF-Paper 1.0
Author-Name: Mirela Miescu
Author-Name-First: Mirela
Author-Name-Last: Miescu
Title: Uncertainty shocks in emerging economies
Abstract: The paper investigates the effects of uncertainty shocks in emerging economies (EMEs).<br/>We construct a global uncertainty indicator as well as country uncertainty measures for fifteen relatively small emerging economies. We adopt an instrumental variable approach to identify exogenous uncertainty shocks in the EMEs. To deal with the data limitations specific to emerging countries, we develop a new Bayesian algorithm to estimate a proxy panel structural<br/>vector autoregressive (SVAR) model. We find that uncertainty shocks in EMEs cause severe falls in GDP and stock price indexes, generate inflation, depreciate the currency and are not followed by a subsequent overshoot in activity. Estimation implies considerable heterogeneity across economies in the response to uncertainty shocks which can be (in part) explained by country characteristics.
Creation-Date: 2019
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/LancasterWP2019_017.pdf
File-Format: application/pdf
Number: 277077821
Classification-JEL: C3, C11, E3
Keywords: Uncertainty shocks, proxy SVAR, Emerging economies, Panel data
Handle: RePEc:lan:wpaper:277077821