Seminario 19/24 : Danilo Leiva-León (Banco España) – Fluctuations in Global Macro Volatility

Información

Abstract: This paper investigates the dynamics, propagation and drivers of macroeconomic volatility from a global perspective. A hierarchical volatility factor model is designed to estimate and decompose the time-varying volatility of output growth across countries into global, regional, and idiosyncratic components. We find that the global volatility component has been systematically declining over time, which is consistent with a \global moderation» of international business cycles. Despite the declining levels of global volatility, the exposure of countries to those global developments has steadily increased over time, implying that countries GDP growth has become more synchronized in second order moments and uncovering a new level of interconnection of the global economy. Moreover, the level of trade openness seems to be the most robust explanatory factor of changes in output volatility worldwide.