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Global economic divergence and portfolio capital flows to emerging markets

Mandalinci, Zeyyad; Mumtaz, Haroon - 2015

This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...

Persistent link: https://www.econbiz.de/10011380997

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

This paper uses a range of structural VARs to show that the response of US stock prices to fiscal shocks changed in 1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices. After 1980, along with a decline in the fiscal...

Persistent link: https://www.econbiz.de/10011927984

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the …

Persistent link: https://www.econbiz.de/10011928022

Immigration and the macroeconomy : some new empirical evidence

Furlanetto, Francesco; Robstad, Ørjan - 2017

Proponemos un nuevo esquema de identificación VAR que nos permite separar perturbaciones migratorias de otras … propose a new VAR identification scheme that enables us to disentangle immigration shocks from other macroeconomic shocks …

Persistent link: https://www.econbiz.de/10012530555

A generalised stochastic volatility in mean VAR: An updated algorithm

Mumtaz, Haroon - 2020

In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …

Persistent link: https://www.econbiz.de/10012670871

Identification of financial factors in economic fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad - 2014

We estimate demand, supply, monetary, investment and financial shocks in a VAR identified with a minimum set of sign …

Persistent link: https://www.econbiz.de/10010420573

Does Monetary Policy React to Asset Prices? Some International Evidence

Furlanetto, Francesco - 2008

and Sack (2003) to identify and estimate a VAR in the presence of heteroskedasticity. This procedure fully takes into … account the endogeneity of interest rates and stock returns that is ignored in the traditional VAR literature. We find a …