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Ruisi, Germano - 2019

In recent years local projections have become a more and more popular methodology for the estimation of impulse …

Persistent link: https://www.econbiz.de/10012040644

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

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

Effects of monetary policy shocks on UK regional activity : a constrained MFVAR approach

Mandalinci, Zeyyad - 2015

This paper examines the effects of monetary policy shocks on UK regional economic growth and dispersion in a novel Constrained Mixed Frequency Vector Autoregressive framework. Compared to a standard MFVAR, the model partially accounts for missing quarterly observations for regional growth by...

Persistent link: https://www.econbiz.de/10011372798

Forward guidance matters : disentangling monetary policy shocks

Ferreira, Leonardo Nogueira - 2020

Central banks have usually employed short-term rates as the main instrument of monetary policy. In the last decades, however, forward guidance has also become a central tool for monetary policy. In an innovative way this paper combines two sources of extraneous information - high frequency...

Persistent link: https://www.econbiz.de/10012295693

The spillover of euro area shocks to the Maltese economy

Gatt, William; Ruisi, Germano - 2022

the Maltese economy. The model focuses on five broad macroeconomic shocks hitting the euro area; an aggregate demand shock … global market for oil, a generic monetary policy shock encompassing both conventional and unconventional interventions, and a … financial stress shock. The model is estimated using Bayesian methods over a sample that goes from 2003Q1 to 2019Q4 and …

Persistent link: https://www.econbiz.de/10012818649

MEDSEA-FIN : an estimated DSGE model with housing and financial frictions for Malta

Gatt, William - 2022

model survives external validation tests. Although the model remains somewhat stylized along some dimensions, estimation …

Persistent link: https://www.econbiz.de/10013382147

The macroeconomic cost of climate volatility

Alessandri, Piergiorgio; Mumtaz, Haroon - 2021

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...

Persistent link: https://www.econbiz.de/10012608712

Macroeconomic and financial effects of oil price shocks : evidence for the Euro area

Morana, Claudio - 2016

following the slump points to the accommodation of the shock by the ECB, concurrent with the implementation of the Quantitative …

Persistent link: https://www.econbiz.de/10011451685

The impacts of oil price shocks on stock market volatility : evidence from the G7 countries

Bastianin, Andrea; Conti, Francesca; Manera, Matteo - 2015

We study the effects of crude oil price shocks on the stock market volatility of the G7 economies. We rely on a structural VAR model to identify the causes underlying the oil price shocks and gauge the differential impact that oil supply and oil demand innovations have on financial volatility....

Persistent link: https://www.econbiz.de/10011438638