Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/183361
Authors: 
Bonciani, Dario
Ricci, Martino
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2179
Abstract: 
In this paper, we analyse the effects of a shock to global fnancial uncertainty and risk aversion on real economic activity. To this end, we extract a global factor, which explains approximately 40% of the variance of about 1000 risky asset returns from around the world. We then study how shocks to the factor affect economic activity in 36 advanced and emerging small open economies by estimating local projections in a panel regression framework. We find the output responses to be quite heterogeneous across countries but, in general, negative and persistent. Furthermore, the effects of shocks to the global factor are stronger in countries with a higher degree of trade and/or financial openness, as well as in countries with higher levels of external debt, less developed financial sectors, and higher risk rating.
Subjects: 
Global Financial Cycle
Local Projection
Macroeconomic Transmission
Panel Data
JEL: 
C30
F41
E32
F65
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3284-4
Document Type: 
Working Paper

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