Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/328149 
Year of Publication: 
2023
Citation: 
[Journal:] Review of Economic Analysis (REA) [ISSN:] 1973-3909 [Volume:] 15 [Issue:] 2 [Year:] 2023 [Pages:] 139-159
Publisher: 
International Centre for Economic Analysis (ICEA), Waterloo (Ontario)
Abstract: 
We contribute to the literature on the international propagation of uncertainty shocks with a Global Vector Autoregressive (GVAR) model that quantifies the spillover effects of uncertainty shocks in the US on to real equity prices of 32 advanced and emerging countries (besides the US). In this regard, we also account for the role of global financial market conditions in the propagation of these shocks, using high and low values of the Global Financial Cycle (GFCy) index. Using quarterly data over 1980:1 to 2019:2, our findings reveal greater response of advanced markets than emerging counterparts to an US uncertainty shock. Further, we show consistent higher negative responses during weak financial conditions than otherwise, confirming the intervening role of the GFCy index. Our results have important implications for investors and policymakers.
Subjects: 
Uncertainty Shocks
International Financial Markets
Global Vector Autoregressive Model
JEL: 
C32
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by-nc Logo
Document Type: 
Article

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