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Artificial long memory effects in two agent-based asset pricing models

Franke, Reiner - 2008

This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...

Persistent link: https://www.econbiz.de/10003738658

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

Persistent link: https://www.econbiz.de/10011389786

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

We use a factor model with stochastic volatility to decompose the time-varying variance of Macro economic and Financial variables into contributions from country-specific uncertainty and uncertainty common to all countries. We find that the common component plays an important role in driving the...

Persistent link: https://www.econbiz.de/10011306276

The impact of uncertainty shocks under measurement error : a proxy SVAR approach

Carriero, Andrea; Mumtaz, Haroon; Theodoridis, Konstantinos - 2013

A growing empirical literature has considered the impact of uncertainty using SVAR models that include proxies for uncertainty shocks as endogenous variables. In this paper we consider the possible impact of measurement error in the uncertainty shock proxies on the estimated impulse responses...

Persistent link: https://www.econbiz.de/10009784657

What do VARs tell us about the impact of a credit supply shock? : an empirical analysis

Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2014

This paper evaluates the performance of structural VAR models in estimating the impact of credit supply shocks. In a … SVARs to try and recover the impulse responses to these shocks. The experiment suggests that a proxy VAR that uses an … error in the instrument. A structural VAR with sign restrictions also performs well under some circumstances. In contrast …

Persistent link: https://www.econbiz.de/10010339749

Volatility co-movement and the great moderation : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...

Persistent link: https://www.econbiz.de/10011554403

The changing transmission of uncertainty shocks in the US : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its …

Persistent link: https://www.econbiz.de/10010472799

What do VARs tell us about the impact of a credit supply shock?

Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2015

This paper evaluates the performance of a variety of structural VAR models in estimating the impact of credit supply … heteroscedasticity suffer from a number of biases. When applied to US data, the estimates from the best performing VAR models indicate …

Persistent link: https://www.econbiz.de/10010484833

Efficient high-dimensional importance sampling in mixture frameworks

Kleppe, Tore Selland; Liesenfeld, Roman - 2011

This paper provides high-dimensional and flexible importance sampling procedures for the likelihood evaluation of dynamic latent variable models involving finite or infinite mixtures leading to possibly heavy tailed and/or multi-modal target densities. Our approach is based upon the efficient...

Persistent link: https://www.econbiz.de/10009382978

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