经济不确定性的来源:来自欧元区市场的证据

IF 2.9 3区 经济学 Q2 BUSINESS, FINANCE
Konstantina Liosi
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引用次数: 1

摘要

本研究考察了2001年至2020年期间欧元区国家经济不确定性的来源,特别关注欧洲央行货币政策对经济不确定性产生的影响。该研究的贡献在于(a)使用了一种不确定性因素,该因素结合了来自不同不确定性变量的信息,而不是像以前的许多研究中那样只使用一个不确定性因素,(b)我们通过使用大量变量得出结果,这些变量组成了一个提供大量信息的大型数据集;(c)对欧元区核心和外围国家的行为进行了研究,因为许多研究表明,它们对经济冲击的反应可能不同。我们研究了四个核心和四个外围欧元区国家的样本,并对每个国家和面板数据采用因子增强向量自回归框架(FAVAR),其中包含六个不同的因素(实际活动、通货膨胀、利率、货币政策、金融市场和不确定性)。结果表明,实际活动和金融市场是经济不确定性的重要因素,尤其是对欧元区核心国家而言,而对外围国家而言,不确定性因素本身似乎对其自身水平有贡献;此外,我们的结果表明,高不确定性时期之后往往是低不确定性时期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The sources of economic uncertainty: Evidence from eurozone markets

This study examines the sources of economic uncertainty in Euro Area countries with a special focus on the effects of the ECB’s monetary policy on economic uncertainty, for the period between 2001 and 2020. The contribution of the research lies (a) on the employment of an uncertainty factor that combines information from different uncertainty variables, rather than just one as in many previous studies, (b) on the fact that we obtain our results with the employment of a significant number of variables that consist a large data set which offers a great amount of information and (c) the examination of the behavior of Core and Peripheral Eurozone countries, since many studies indicate that their reaction to economic shocks may be different. We examine a sample of four Core and four Peripheral Eurozone Countries and employ for each country and for panel data a Factor-Augmented Vector Autoregression framework (FAVAR) with six different factors (real activity, inflation, interest rates, monetary policy, financial market and uncertainty). The results indicate that real activity and financial markets are important contributors to economic uncertainty, especially for the Core Eurozone countries, while for the Peripheral countries the uncertainty factor itself seems to contribute to its own level; in addition, our results indicate that periods of high uncertainty tend to be followed by periods of low uncertainty.

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来源期刊
CiteScore
7.30
自引率
4.80%
发文量
25
审稿时长
30 days
期刊介绍: International trade, financing and investments have grown at an extremely rapid pace in recent years, and the operations of corporations have become increasingly multinationalized. Corporate executives buying and selling goods and services, and making financing and investment decisions across national boundaries, have developed policies and procedures for managing cash flows denominated in foreign currencies. These policies and procedures, and the related managerial actions of executives, change as new relevant information becomes available. The purpose of the Journal of Multinational Financial Management is to publish rigorous, original articles dealing with the management of the multinational enterprise. Theoretical, conceptual, and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • Foreign exchange risk management • International capital budgeting • Forecasting exchange rates • Foreign direct investment • Hedging strategies • Cost of capital • Managing transaction exposure • Political risk assessment • International working capital management • International financial planning • International tax management • International diversification • Transfer pricing strategies • International liability management • International mergers.
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