The financial US uncertainty spillover multiplier : evidence from a GVAR model

dc.contributor.authorSalisu, Afees A.
dc.contributor.authorGupta, Rangan
dc.contributor.authorDemirer, Riza
dc.date.accessioned2022-08-16T10:11:55Z
dc.date.available2022-08-16T10:11:55Z
dc.date.issued2022-12
dc.descriptionThe data that support the findings of this study are available at : http://www.econ.cam.ac.uk/peoplefiles/emeritus/mhp1/GVAR/GVAR.html for the GVAR database and http://policyuncertainty.com/wui_quarterly.html for Economic policy uncertainty.en_US
dc.description.abstractThis study examines the role of the global financial cycle (GFCy) in the propagation of uncertainty shocks from the United States to other national economies using a large-scale global vector autoregressive model of 33 countries. Although the dominant role of US uncertainty over global economic dynamics is established, the findings highlight the moderating role of the GFCy in the spillover effects of uncertainty shocks. The US uncertainty shocks, compared with own-domestic uncertainty shocks, are found to have a more prominent negative impact on output during stressed market conditions, implied by low values of the GFCy, while the impact turns largely insignificant during high GFCy states. The findings provide evidence in favour of a US uncertainty spillover multiplier, suggesting that the design of monetary policy as a response to US uncertainty needs to be contingent on the state of the integrated global financial markets, captured by the GFCy.en_US
dc.description.departmentEconomicsen_US
dc.description.librarianhj2022en_US
dc.description.urihttp://wileyonlinelibrary.com/journal/infien_US
dc.identifier.citationSalisu, A. A., Gupta, R., & Demirer, R. (2022). The financial US uncertainty spillover multiplier: Evidence from a GVAR model. International Finance, 25(3) : 313-340. https://doi.org/10.1111/infi.12414.en_US
dc.identifier.issn1367-0271 (print)
dc.identifier.issn1468-2362 (online)
dc.identifier.other10.1111/infi.12414
dc.identifier.urihttps://repository.up.ac.za/handle/2263/86799
dc.language.isoenen_US
dc.publisherWileyen_US
dc.rights© 2022 John Wiley & Sons Ltd. This is the submitted version of the following article : The financial US uncertainty spillover multiplier: Evidence from a GVAR model. International Finance, vol. 25, no. 3, pp. 313-340, 2022. doi : 10.1111/infi.12414. The definite version is available at : http://wileyonlinelibrary.com/journal/infi.en_US
dc.subjectGlobal financial cycle (GFCy)en_US
dc.subjectGlobal vector autoregressive modelen_US
dc.subjectReal GDPen_US
dc.subjectGross domestic product (GDP)en_US
dc.subjectUncertainty shocksen_US
dc.titleThe financial US uncertainty spillover multiplier : evidence from a GVAR modelen_US
dc.typePreprint Articleen_US

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