Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/240342 
Year of Publication: 
2021
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 1/2021
Publisher: 
Bank of Finland, Helsinki
Abstract: 
We estimate a novel measure of global Önancial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-speciÖc factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identiÖcation via a combination of narrative, sign, ratio, and correlation restrictions. We Önd that the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We also unveil the existence of a global Önance uncertainty multiplier: the more global Önancial conditions deteriorate after GFU shocks, the larger the world output contraction is.
Subjects: 
Global Financial Uncertainty
dynamic hierarchical factor model
structural VAR
world output loss
global finance uncertainty multiplier
JEL: 
C32
E32
Persistent Identifier of the first edition: 
ISBN: 
978-952-323-365-2
Document Type: 
Working Paper

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