Corrigendum to: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
||Original Paper: WP 18-03 | Revisions: WP 18-03R|
Carriero, Clark, and Marcellino (2020, CCM2020) used large BVAR models with a factor structure to stochastic volatility to produce estimates of time-varying international macroeconomic uncertainty and assess uncertainty's effects on the global economy. The results in CCM2020 were based on an estimation algorithm that has recently been shown to be incorrect by Bognanni (2021) and fixed by Carriero, et al. (2021). In this note we use the algorithm correction of Carriero, et al. (2021) to correct the estimates of CCM2020. Although the correction has some impact on the original results, the changes are small and the key findings of CCM2020 are upheld.
JEL Classification: E32, E44, C11, C55.
Suggested citation: Carriero, Andrea, Todd E. Clark and Massimiliano Marcellino. 2022. "Corrigendum to: Assessing International Commonality in Macroeconomic Uncertainty and Its Effects." Working Paper No. 18-03C. Federal Reserve Bank of Cleveland. https://doi.org/10.26509/frbc-wp-201803c.