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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
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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
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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
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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
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Changing patterns of risk-sharing channels in the United States and the euro area
Cimadomo, Jacopo; Giuliodori, Massimo; 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/10014477677