We use a dynamic factor model with time-varying parameters and stochastic volatility to decompose the variance of exports and imports over time for 22 Organization for Economic Co-operation and Development countries spanning the quarterly period of 1960:01–2016:04 into contributions from country- and region-specific uncertainties and uncertainty common to all countries. We find that, while idiosyncratic uncertainty has a dominant role in explaining the volatility of international trade, global, country-, and region-specific uncertainties drive around 40% of the volatility of real exports and imports, with the impact of the latter three uncertainties rising in explanatory power during episodes of crises. Our results have important policy implications.

中文翻译：

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全球、区域和国家特定不确定性对国际贸易波动的时变影响

我们使用具有时变参数和随机波动率的动态因子模型将 22 个经济合作与发展组织国家在 1960:01-2016:04 季度期间的进出口方差分解为特定于国家和地区的不确定性和所有国家共有的不确定性。我们发现，虽然特质不确定性在解释国际贸易的波动性方面起主导作用，但全球、国家和地区特定的不确定性驱动了实际进出口波动的 40% 左右，后三种不确定性的影响在危机时期的解释力上升。我们的结果具有重要的政策含义。