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

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find...

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

Dynamic effects of monetary policy shocks on macroeconomic volatility

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

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

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

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

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

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 … component plays an important role in driving the time-varying volatility of nominal and financial variables. The cross …-country co-movement in volatility of real and financial variables has increased over time with the common component becoming more …

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

Non-linear effects of oil shocks on stock prices

Mumtaz, Haroon; Pirzada, Ahmed; Theodoridis, Konstantinos - 2018

This paper uses a panel Threshold VAR model to estimate the regime-dependent impact of oil shocks on stock prices. We find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this impact is negligible in the regime characterised by...

Persistent link: https://www.econbiz.de/10011895018

Estimating time-varying DSGE models using minimum distance methods

Giraitis, Liudas; Kapetanios, George; Theodoridis, … - 2015

Following Giraitis, Kapetanios, and Yates (2014b), this paper uses kernel methods to estimate a seven variable time-varying (TV) vector autoregressive (VAR) model on the data set constructed by Smets and Wouters (2007). We apply an indirect inference method to map from this TV VAR to time...

Persistent link: https://www.econbiz.de/10011405253

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/10011627039

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 shocks. Using a Monte-Carlo experiment, we show that identification based on sign and quantity restrictions and via external instruments is effective in recovering the underlying...

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

Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators

Anderson, Richard G. (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003740180

The Federal Reserve's implicit inflation target and macroeconomic dynamics : a SVAR analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

This paper identifies shocks to the Federal Reserve's inflation target as VAR innovations that make the largest contribution to future movements in long-horizon inflation expectations. The effectiveness of this scheme is documented via Monte-Carlo experiments. The estimated impulse responses...

Persistent link: https://www.econbiz.de/10011671941