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Domestic and global uncertainty : a survey and some new results
Castelnuovo, Efrem - 2019
This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty...
Persistent link: https://www.econbiz.de/10012119543
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The feasible gains from international risk sharing
Eijffinger, Sylvester C. W.; Wagner, Wolf - 2001
We argue that since there are several impediments to international risk sharing, the welfare gains from full … international risk sharing, which have been the object of analysis in the previous literature, are not suggestive. Instead, we study … the gains from feasible risk sharing and find that they are considerable (0:5% increase inpermanent consumption). Marginal …
Persistent link: https://www.econbiz.de/10011398778
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The global effects of Covid-19-induced uncertainty
Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard - 2020
We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world...
Persistent link: https://www.econbiz.de/10012213164
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Intra-and international risk-sharing in the short run and the long run
Becker, Sascha O.; Hoffmann, Mathias - 2003
We investigate empirically how industrialized countries and U.S. states share consumption risk at horizons between one … and thirty years. U.S. federal states share about 50 percent of their permanent idiosyncratic risk through cross … share any of their permanent idiosyncratic risk. Our results suggest that purely transaction cost based theories cannot …
Persistent link: https://www.econbiz.de/10011404294
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The crisis in the foreign exchange market
Melvin, Michael; Taylor, Mark P. - 2009
The financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blowʺ narrative is intended to be a resource for researchers seeking a...
Persistent link: https://www.econbiz.de/10003861767
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Global uncertainty
Caggiano, Giovanni; Castelnuovo, Efrem - 2021
We estimate a novel measure of global financial uncertainty (GFU) with a dynamic factor framework that jointly models global, regional, and country-specific factors. We quantify the impact of GFU shocks on global output with a VAR analysis that achieves set-identification via a combination of...
Persistent link: https://www.econbiz.de/10012431805
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736
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Collective risk-taking decisions with heterogeneous beliefs
Gollier, Christian - 2003
degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
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Measuring the economic risk of COVID-19
Noy, Ilan; Nguyen Doan; Ferrarini, Benno; Park, Donghyun - 2020
We measure the economic risk of COVID-19 at a geo-spatially detailed resolution. In addition to data about the current … prevalence of confirmed cases, we use data from 2014-2018 and a conceptual disaster risk model to compute measures for exposure ….e., its ability of the recover rapidly from the shock). We find that the economic risk of this pandemic is particularly high …
Persistent link: https://www.econbiz.de/10012231556
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Measuring the economic risk of epidemics
Noy, Ilan; Nguyen Doan; Ferrarini, Benno; Park, Donghyun - 2019
We measure the economic risk of epidemics at a geo-spatially detailed resolution. In addition to data about the …’s resilience (its ability of the recover rapidly from the shock). We find that the economic risk of epidemics is particularly high …
Persistent link: https://www.econbiz.de/10012156716