Similar Search Results

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

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

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