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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
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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
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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 … 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
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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
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The nonlinear effects of uncertainty shocks
Jackson, Laura; Kliesen, Kevin L.; Owyang, Michael T. - 2018
Persistent link: https://www.econbiz.de/10011950514
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Non-linear effects of oil shocks on stock prices
Mumtaz, Haroon; Pirzada, Ahmed; Theodoridis, Konstantinos - 2018
find that an adverse oil supply shock has a negative effect on stock prices when oil inflation is low. In contrast, this … rates encourage firms to get highly leveraged. A negative oil shock in this scenario leads to a substantial increase in … shock, ameliorating the impact on the stock market. …
Persistent link: https://www.econbiz.de/10011895018
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Global oil price swings : has their effect on Malta changed over time?
Ruisi, Germano - 2023
international to domestic energy prices decreases from 1% to virtually zero in response to a shock rising real oil prices by 10 …
Persistent link: https://www.econbiz.de/10014380679
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On the long-run unemployment, inflation, and volatility
Fasani, Stefano - 2021
This paper builds up a simple New Keynesian model and revisits the relationship between unemployment and in ation in the long-run. It finds that when the labor market is affected by downward nominal wage rigidity, this relationship goes beyond the tradeoff between the first moments of...
Persistent link: https://www.econbiz.de/10012429726
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Sources of exchange rate fluctuations : are they real or nominal?
Juvenal, Luciana - 2009
Persistent link: https://www.econbiz.de/10003870904
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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