@misc{10481/71834,
year = {2021},
month = {10},
url = {http://hdl.handle.net/10481/71834},
abstract = {In this paper, we dissect the time-varying output volatility of the main world economies to
study its dynamics, spillovers, and determinants, from a global perspective. Our analysis
relies on a hierarchical volatility factor model and Bayesian model averaging. We show that
the increasing comovement observed in international macroeconomic volatility is substantially
larger in developing than in developed countries. Instead, developed countries have
exhibited more asymmetric volatility shocks than developing countries in recent times. We
also show that, although the downward trend in global volatility is related with increasing
trade, idiosyncratic changes in volatility are highly influenced by domestic monetary policies.
However, due to the declining role played by these idiosyncratic components over
time, policymakers currently face greater constraints when it comes to stabilizing output
fluctuations.},
organization = {Banco de Espana or Eurosystem	PID2019-111708GA-I00	
MCIN/AEI/10.13039/501100011033},
publisher = {Elsevier},
keywords = {Output volatility},
keywords = {Trade},
keywords = {Factor model},
keywords = {Model uncertainty},
title = {Fluctuations in global output volatility},
doi = {10.1016/j.jimonfin.2021.102533},
author = {Ductor Gómez, Lorenzo and Leiva León, Danilo},
}