This paper provides new indices of global macroeconomic uncertainty and investigates the cross-country transmission of … uncertainty using a global vector autoregressive (GVAR) model. The indices measure the dispersion of forecasts that results from … parameter uncertainty in the GVAR. Relying on the error correction representation of the model, we distinguish between measures …

We propose an approach for jointly measuring global macroeconomic uncertainty and bilateral spillovers of uncertainty … to summarize a variety of uncertainty measures, such as financial-market volatility, economic-policy uncertainty, survey …-forecast-based measures and econometric measures of macroeconomic uncertainty, showing major peaks during both the global financial crisis and …