Domestic and Global Uncertainty: A Survey and Some New Results

Abstract

This survey features three parts. The first one covers the recent literature on domestic (i.e., country-specific) uncertainty and offers ten main takeaways. The second part reviews contributions on the fast-growing strand of the literature focusing on the macroeconomic effects of uncertainty spillovers and global uncertainty. The last part proposes a novel measure of global financial uncertainty and shows that its unexpected variations are associated to statistically and economically fluctuations of the world business cycle.

Keywords: uncertainty, uncertainty shocks, spillovers, global financial uncertainty, world business cycle

JEL Classification: C22, E32, E52, E62