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The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics
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Garratt, Anthony, Lee, Kevin and Shields, Kalvinder K. (2018) The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics. Canadian Journal of Economics, 51 (2). pp. 391-418. doi:10.1111/caje.12325 ISSN 0008-4085.
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Official URL: https://doi.org/10.1111/caje.12325
Abstract
Output fluctuations in the G7 are characterized using a VAR model of countries’ actual and expected outputs and uncertainty over these. New measures are developed to quantify the relative importance of economic prospects‐versus‐uncertainty, global‐versus‐national effects and fundamentals‐versus‐sentiment for countries’ persistent output movements. National and global contributions are found to be equally important across the G7 although considerable differences exist between countries. Uncertainty, and especially cross‐country uncertainty, is important in propagating the effects of shocks and generates around 20% of countries’ persistent output movements on average. Fundamentals dominate output movements although, with an 80:20 split, sentiment plays a non‐negligible role.
Item Type: | Journal Article | ||||||
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Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HG Finance |
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
Library of Congress Subject Headings (LCSH): | Econometric models, Group of Seven countries, Canada, France, Germany, Italy, Japan, Great Britain, United States | ||||||
Journal or Publication Title: | Canadian Journal of Economics | ||||||
Publisher: | Wiley-Blackwell Publishing, Inc. | ||||||
ISSN: | 0008-4085 | ||||||
Official Date: | 3 May 2018 | ||||||
Dates: |
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Volume: | 51 | ||||||
Number: | 2 | ||||||
Number of Pages: | 34 | ||||||
Page Range: | pp. 391-418 | ||||||
DOI: | 10.1111/caje.12325 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 8 May 2017 | ||||||
Date of first compliant Open Access: | 3 May 2020 |
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