Measuring Global Macroeconomic Uncertainty

This paper provides a new index of global macroeconomic uncertainty and investigates the cross-country transmission of uncertainty using a global vector autoregressive (GVAR) model. The index measures the dispersion of forecasts resulting from parameter uncertainty in the GVAR. Over the period 2000Q1-2019Q4, global macroeconomic uncertainty is highly correlated with financial market volatility. We quantify global spillover effects by decomposing uncertainty into the contributions from individual countries. On average, about 40% of a country's domestic uncertainty is accounted for by spillovers from abroad