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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

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

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of international economics 105 (2017), pp. 205-216

Persistent link: https://www.econbiz.de/10011751898

The evolving impact of global, region-specific and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - 2018

We build a dynamic factor model with time-varying parameters and stochastic volatility and use it to decompose the variance of a large set of financial and macroeconomic variables for 22 OECD countries spanning from 1960 onwards into contributions from country-specific uncertainty,...

Persistent link: https://www.econbiz.de/10011856363

The changing transmission of uncertainty shocks in the U.S.

Mumtaz, Haroon; Theodoridis, Konstantinos - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 239-252

Persistent link: https://www.econbiz.de/10011894695

Measuring the origins of macroeconomic uncertainty

Mumtaz, Haroon - 2018

This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...

Persistent link: https://www.econbiz.de/10011895010

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

Changing Patterns of Risk-Sharing Channels in the United States and the Euro Area

Giuliodori, Massimo; Cimadomo, Jacopo; Lengyel, Andras; … - 2023

In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and …-varying parameter panel VAR model, with stochastic volatility, which allows us to formally quantify time variation in risk …-sharing channels. Second, we develop a new test of the complementarity vs. substitutability hypothesis of the three risk …

Persistent link: https://www.econbiz.de/10014345468

The evolving impact of global, region-specific, and country-specific uncertainty

Mumtaz, Haroon; Musso, Alberto - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 2, pp. 466-481

Persistent link: https://www.econbiz.de/10012499092

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - In: Journal of monetary economics 101 (2019), pp. 31-46

Persistent link: https://www.econbiz.de/10012264750