The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics
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...
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| Format: | Article |
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Wiley
2018
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| Online Access: | https://eprints.nottingham.ac.uk/42002/ |
| _version_ | 1848796397958070272 |
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| author | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_facet | Garratt, Anthony Lee, Kevin Shields, Kalvinder |
| author_sort | Garratt, Anthony |
| building | Nottingham Research Data Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T19:47:20Z |
| format | Article |
| id | nottingham-42002 |
| institution | University of Nottingham Malaysia Campus |
| institution_category | Local University |
| last_indexed | 2025-11-14T19:47:20Z |
| publishDate | 2018 |
| publisher | Wiley |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | nottingham-420022020-05-04T19:35:30Z https://eprints.nottingham.ac.uk/42002/ The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics Garratt, Anthony Lee, Kevin Shields, Kalvinder 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. Wiley 2018-05-03 Article PeerReviewed 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 Uncertainty Sentiment Fundamentals Survey Expectations Global Shocks National Shocks https://onlinelibrary.wiley.com/doi/abs/10.1111/caje.12325 doi:10.1111/caje.12325 doi:10.1111/caje.12325 |
| spellingShingle | Uncertainty Sentiment Fundamentals Survey Expectations Global Shocks National Shocks Garratt, Anthony Lee, Kevin Shields, Kalvinder The role of uncertainty, sentiment and cross-country interactions in G7 output dynamics |
| title | The role of uncertainty, sentiment and cross-country
interactions in G7 output dynamics |
| title_full | The role of uncertainty, sentiment and cross-country
interactions in G7 output dynamics |
| title_fullStr | The role of uncertainty, sentiment and cross-country
interactions in G7 output dynamics |
| title_full_unstemmed | The role of uncertainty, sentiment and cross-country
interactions in G7 output dynamics |
| title_short | The role of uncertainty, sentiment and cross-country
interactions in G7 output dynamics |
| title_sort | role of uncertainty, sentiment and cross-country
interactions in g7 output dynamics |
| topic | Uncertainty Sentiment Fundamentals Survey Expectations Global Shocks National Shocks |
| url | https://eprints.nottingham.ac.uk/42002/ https://eprints.nottingham.ac.uk/42002/ https://eprints.nottingham.ac.uk/42002/ |