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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

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

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

Trade in commodities and business cycle volatility

Kohn, David; Leibovici, Fernando; Tretvoll, Hakon - 2018

volatility of emerging and developed economies. We study a multi-sector small open economy in which firms produce and trade …

Persistent link: https://www.econbiz.de/10011911446

The evolving impact of global, region-speci c and country-speci c uncertainty

Mumtazy, Haroon; Mussoz, Alberto - 2018

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

Persistent link: https://www.econbiz.de/10011904508

Business cycle persistence in developing countries : how successful is a DSGE model with a vertical production chain and sticky prices?

Male, Rachel - 2010

It is well documented that business cycles of developed countries are characterised by persistent output fluctuations, and this has been the subject of much theoretical interest. However, the case for developing countries has been somewhat neglected in the literature. This paper addresses this...