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Policy uncertainty and aggregate fluctuations

Mumtaz, Haroon; Surico, Paolo - 2013

changes, (iii) public debt sustainability and (iv) monetary policy. Following a one standard deviation shock, uncertainty … about debt sustainability has the largest and most significant impact on real activity, with negative effects on output … by debt sustainability. Our results are based on a new empirical framework that allows the volatility of identified …

Persistent link: https://www.econbiz.de/10009790714

Financial conditions and density forecasts for US output and inflation

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

When do financial markets help in predicting economic activity? With incomplete markets, the link between financial and real economy is state-dependent and financial indicators may turn out to be useful particularly in forecasting "tail" macroeconomic events. We examine this conjecture by...

Persistent link: https://www.econbiz.de/10010339756

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

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

US financial shocks and the distribution of income and consumption in the UK

Mumtaz, Haroon; Theodoridis, Konstantinos - 2018

We show that US financial shocks have an impact on the distribution of UK income and consumption. Households with higher income and higher levels of consumption are affected more by this shock than households located towards the lower end of these distributions. An estimated multiple agent DSGE...

Persistent link: https://www.econbiz.de/10011787854

Does uncertainty affect real activity? : evidence from state-level data

Mumtaz, Haroon - 2018

We use variation in the effect of US-wide or global uncertainty on state-level uncertainty to identify the impact of this shock on real activity. We ?nd that increases in uncertainty do have an adverse impact on real income, employment and unemployment. Thus, uncertainty shocks can be a source...

Persistent link: https://www.econbiz.de/10011787856

Non-linear e¤ects of government spending shocks in the US : evidence from state-level data

Mumtaz, Haroon; Sunder-Plassmann, Laura - 2017

This paper uses state-level data to estimate the effect of federal defense spending shocks on state real activity. We find moderately strong evidence that for the average state the fiscal multiplier is larger during recessions. However, there is substantial heterogeneity across the...

Persistent link: https://www.econbiz.de/10011773635