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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/10011372822

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 …

Persistent link: https://www.econbiz.de/10011448758

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

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 … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

Persistent link: https://www.econbiz.de/10011812167

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

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

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

Persistent link: https://www.econbiz.de/10010339759