dc.contributor.author |
Gül, Selçuk
|
|
dc.contributor.author |
Gupta, Rangan
|
|
dc.date.accessioned |
2022-03-11T05:31:28Z |
|
dc.date.available |
2022-03-11T05:31:28Z |
|
dc.date.issued |
2021-10 |
|
dc.description.abstract |
We use a dynamic factor model with time-varying parameters and stochastic volatility to decompose the variance of exports and imports over time for 22 Organization for Economic Co-operation and Development countries spanning the quarterly period of 1960:01–2016:04 into contributions from country- and region-specific uncertainties and uncertainty common to all countries. We find that, while idiosyncratic uncertainty has a dominant role in explaining the volatility of international trade, global, country-, and region-specific uncertainties drive around 40% of the volatility of real exports and imports, with the impact of the latter three uncertainties rising in explanatory power during episodes of crises. Our results have important policy implications. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2022 |
en_ZA |
dc.description.uri |
http://wileyonlinelibrary.com/journal/coep |
en_ZA |
dc.identifier.citation |
Gül, S. & Gupta, R. (2021) Time-varying impact of global, region-, and country-specific uncertainties on the volatility of international trade. Contemporary Economic Policy, 39: 691–700. https://doi.org/10.1111/coep.12517. |
en_ZA |
dc.identifier.issn |
1074-3529 (print) |
|
dc.identifier.issn |
1465-7287 (online) |
|
dc.identifier.other |
10.1111/coep.12517 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/84437 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Wiley |
en_ZA |
dc.rights |
© 2021 Western Economic Association International.. This is the pre-peer reviewed version of the following article : Time-varying impact of global, region-, and country-specific uncertainties on the volatility of international trade. Contemporary Economic Policy, 39: 691–700, 2021, doi : 10.1111/coep.12517. The definite version is available at : http://wileyonlinelibrary.com/journal/coep. |
en_ZA |
dc.subject |
Global financial crisis (GFC) |
en_ZA |
dc.subject |
Vector autoregressive (VAR) |
en_ZA |
dc.subject |
Dynamic factor model |
en_ZA |
dc.subject |
Stochastic volatility |
en_ZA |
dc.subject |
Time-varying parameter (TVP) |
en_ZA |
dc.subject |
Trade volatility |
en_ZA |
dc.subject |
Uncertainty shocks |
en_ZA |
dc.title |
Time-varying impact of global, region-, and country-specific uncertainties on the volatility of international trade |
en_ZA |
dc.type |
Preprint Article |
en_ZA |