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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

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

A new look at uncertainty shocks : imperfect information and misallocation

Senga, Tatsuro - 2015

experiences a shock forcing it to start learning afresh. Firms differ in their information; more informed firms have lower … posterior variances in beliefs. An uncertainty shock is a rise in the probability that any given firm will lose its information … a prolonged recession followed by anemic recovery in response to an uncertainty shock. When confronted with a rise in …

Persistent link: https://www.econbiz.de/10011401309

Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

Flaschel, Peter; Charpe, Mattieu; Galanis, Giorgos; … - 2017

This paper studies the implications of heterogeneous capital gain expectations on output and asset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms - fundamentalist and chartist -...

Persistent link: https://www.econbiz.de/10011671937

The tail that wags the economy : beliefs and persistent stagnation

Kozlowski, Julian; Veldkamp, Laura; Venkateswaran, Venky - 2019

The Great Recession was a deep downturn with long-lasting effects on credit, employment and output. While narratives about its causes abound, the persistence of GDP below pre-crisis trends remains puzzling. We propose a simple persistence mechanism that can be quantified and combined with...

Persistent link: https://www.econbiz.de/10011997953

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

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

Demand or supply? : an empirical exploration of the effects of climate change on the macroeconomy

Ciccarelli, Matteo; Marotta, Fulvia - 2021 - This version: December 7, 2021

Using a panel of 24 OECD countries for the sample 1990-2019 and a standard macroeconomic framework, the paper tests the combined macroeconomic effects of climate change, environmental policies and technology. Overall, we find evidence of significant macroeconomic effects over the business cycle:...

Persistent link: https://www.econbiz.de/10012798835

An assessment of the macroeconomic implications of foreign and domestic labour supply shocks in Malta

Ruisi, Germano - 2020

Over the recent years Malta has experienced a remarkable increase in its labour force due to a large influx of immigrants and an unprecedented increase in the domestic participation. Driven by the observation of such a phenomenon, this paper aims at assessing the impact of foreign and domestic...

Persistent link: https://www.econbiz.de/10012301315

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