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Downside and upside uncertainty shocks

Forni, Mario; Gambetti, Luca; Sala, Luca - 2021

Persistent link: https://www.econbiz.de/10012490267

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46

Persistent link: https://www.econbiz.de/10012264750

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of international economics 105 (2017), pp. 205-216

Persistent link: https://www.econbiz.de/10011751898

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10011895010

The state level impact of uncertainty shocks

Mumtaz, Haroon; Sunder-Plassmann, Laura; … - 2016

This paper uses a FAVAR model with stochastic volatility to estimate the impact of uncertainty shocks on real income growth in US states. The results suggest that there is a large degree of heterogeneity in the magnitude and the persistence of the response to uncertainty shocks across states....

Persistent link: https://www.econbiz.de/10011448758

The evolving impact of global, region-specific, and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481

Persistent link: https://www.econbiz.de/10012499092

News, uncertainty and economic fluctuations

Forni, Mario; Gambetti, Luca; Sala, Luca - 2017

Persistent link: https://www.econbiz.de/10011715655

The evolving impact of global, region-specific and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...

Persistent link: https://www.econbiz.de/10011856363

The changing transmission of uncertainty shocks in the U.S.

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10011894695

Changing Patterns of Risk-Sharing Channels in the United States and the Euro Area

Giuliodori, Massimo; Cimadomo, Jacopo; Lengyel, Andras; … - 2023

In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and …-varying parameter panel VAR model, with stochastic volatility, which allows us to formally quantify time variation in risk …-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis of the three risk …

Persistent link: https://www.econbiz.de/10014345468