Volatility spillovers and the global financial cycle across economies: Evidence from a global semi-structural model

Publicado en

  • Economic Modelling


  • The paper provides some evidence on the relevance of global uncertainty and risk aversion and the lesser importance of US interest rates for the global financial and business cycles. As framework, we use a global semi-structural model augmented with financial and trade interlinkages. Financial interlinkages are modelled with proposed global uncertainty, global risk aversion and global financial cycle channels. Trade interlinkages are modelled with proposed value-chain trade equations. We find that global uncertainty and global risk aversion are, by far, the main volatility factors in all economies. Other volatility factors such as US interest rates, foreign interest rates and trade-related factors rarely explain shares of forecast error variance above one percent.

fecha de publicación

  • 2020

Líneas de investigación

  • Global financial cycle
  • Global risk
  • Global semi-structural model
  • Global value chains
  • Risk aversion
  • Uncertainty
  • Value-chain trade equations


  • 90