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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 … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …

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

The impact of monetary policy on inequality in the UK : an empirical analysis

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2016

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct quarterly historical measures of inequality from 1969 to 2012. We investigate whether monetary policy shocks played a role in explaining...

Persistent link: https://www.econbiz.de/10011431334

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

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

instrumental variable procedure to estimate the impact of the credit shock performs well and is relatively robust to measurement …, VARs of the narrative variety, i.e. VAR models that include measures of the credit shock as endogenous variables are highly … suggests, however, that the credit supply shock is hard to identify in practice. …

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

Fat-tails in VAR models

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

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

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

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

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are …

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

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....

Persistent link: https://www.econbiz.de/10010472852

Monetary Policy and Inequality in the UK

Mumtaz, Haroon; Theophilopoulou, Angeliki - 2015

The UK has experienced a dramatic increase in earnings and income inequality over the past four decades. We use detailed micro level information to construct historical measures of inequality from 1968 to 2008. We study whether monetary policy shocks played a significant role in explaining this...

Persistent link: https://www.econbiz.de/10010480347

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

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

instruments is effective in recovering the underlying shock. In contrast, identification based on recursive schemes and …

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

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

Monetary policy uncertainty and firm dynamics

Fasani, Stefano; Mumtaz, Haroon; Rossi, Lorenza - 2020

smaller effect of this shock on real activity. …

Persistent link: https://www.econbiz.de/10012243253