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

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Garratt, Anthony, Lee, Kevin and Shields, Kalvinder (2018) The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics. Canadian Journal of Economics, 51 (2). pp. 391-418. ISSN 1540-5982

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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
RIS ID: https://nottingham-repository.worktribe.com/output/931010
Additional Information: This is the peer reviewed version of the following article, which has been published in final form at https://onlinelibrary.wiley.com/doi/abs/10.1111/caje.12325. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Keywords: Uncertainty, Sentiment, Fundamentals, Survey Expectations, Global Shocks, National Shocks
Schools/Departments: University of Nottingham, UK > Faculty of Social Sciences > School of Economics
Identification Number: 10.1111/caje.12325
Depositing User: Eprints, Support
Date Deposited: 19 Apr 2017 08:29
Last Modified: 04 May 2020 19:35
URI: https://eprints.nottingham.ac.uk/id/eprint/42002

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