Review of Financial Studies Vol. 33 No. 8 2020

Uncertainty and Economic Activity: A Multicountry Perspective

Ambrogio Cesa-Bianchi¹; M. Hashem Pesaran²; Alessandro Rebucci³

¹ Bank of England and CfM · ² University of Southern California, and Trinity College, Cambridge · ³ Johns Hopkins Carey Business School, CEPR, and NBER

Abstract

We develop an asset pricing model with heterogeneous exposure to a persistent world growth factor to identify global growth and financial shocks in a multicountry panel VAR in volatility and output growth. The econometric estimates yield three sets of empirical results about (1) the importance of global growth for the interpretation of the correlation between volatility and growth over the business cycle and the possible presence of omitted variable bias in single-country VAR studies, (2) the extent to which output shocks drive volatility, and (3) the transmission of volatility shocks to output growth.

DOI

10.1093/rfs/hhz098

Volume

33

Issue

8

Pages

3393-3445

Language

en

Sources

bibtex:phds-export.bib openalex crossref

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓