Topic：Global Uncertainty, Macroeconomic Activity and Commodity Price
Abstract：We construct a homogeneous proxy of global macroeconomic uncertainty by employing a rich global dataset covering both advanced and major emerging economies. Our proxy displays significant independent variations from popular regional or country-specific uncertainty measures, and can serve as an alternative to the global economic policy uncertainty index when one needs to identify uncertainty shocks at the aggregate global level. We examine dynamic impacts among global macroeconomic uncertainty and other global macroeconomic variables, and provide two meaningful applications of our proxy by linking it to the price formation mechanism of oil and by disentangling the global common and country-specific components involved in uncertainty shocks. We show that the well-documented relationship between uncertainty and real activities is not only a regional issue, but also a global phenomenon. Global uncertainty, which works as aggregate demand shocks, plays a key role in determining commodity prices. In addition, to complement the conventional within-country analysis of uncertainty impact, we show that the global common components in uncertainty shocks account for a substantial fraction of business cycle fluctuations in a certain economy. Our findings are robust according to a variety of robustness analysis.
Date: Thursday,September 26th,2019
Location：Academic Hall 712