The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics

Garratt, Anthony and Lee, Kevin and Shields, Kalvinder (2017) The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics. Canadian Journal of Economics . ISSN 1540-5982 (In Press)

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Abstract

Output fluctuations in the G7 are characterised 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: Article
Keywords: Uncertainty, Sentiment, Fundamentals, Survey Expectations, Global Shocks, National Shocks
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Depositing User: Eprints, Support
Date Deposited: 19 Apr 2017 08:29
Last Modified: 07 Aug 2017 09:45
URI: http://eprints.nottingham.ac.uk/id/eprint/42002

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