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Estimating the Aggregate Consumption Euler Equation with State-Dependent Parameters
Mumtaz, Haroon; Surico, Paolo - C.E.P.R. Discussion Papers - 2011
The consumption Euler equation is a building block of modern macro theory. Yet, the existing evidence on aggregate data … state of the economy. The nonlinear method reveals that during periods in which consumption is above its conditional average … value) than the estimates associated with periods of below-average consumption. Our evidence is consistent with models of …
Persistent link: https://www.econbiz.de/10008854511
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Changing patterns of risk-sharing channels in the United States and the euro area
Cimadomo, Jacopo; Giuliodori, Massimo; 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 whether they have operated as "complements" or "substitutes". In particular, we focus on the capital channel (income from cross-border ownership of productive assets), the credit...
Persistent link: https://www.econbiz.de/10014543684
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Changing patterns of risk-sharing channels in the United States and the euro area
Cimadomo, Jacopo; Giuliodori, Massimo; 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 whether they have operated as "complements" or "substitutes". In particular, we focus on the capital channel (income from cross-border ownership of productive assets), the credit...
Persistent link: https://www.econbiz.de/10014477677
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Monetary policy and wealth inequality over the great recession in the UK: An empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - 2019
We use detailed micro information at household level from the Wealth and Assets Survey to construct measures of wealth inequality from 2005 to 2016 at the monthly frequency. We investigate the dynamic relationship between monetary policy and the evolution of wealth inequality measures. Our...
Persistent link: https://www.econbiz.de/10012144236
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Monetary policy and wealth inequality over the great recession in the UK : an empirical analysis
Mumtaz, Haroon; Theophilopoulou, Angeliki - 2019
We use detailed micro information at household level from the Wealth and Assets Survey to construct measures of wealth inequality from 2005 to 2016 at the monthly frequency. We investigate the dynamic relationship between monetary policy and the evolution of wealth inequality measures. Our...
Persistent link: https://www.econbiz.de/10012120339
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U.S. evolving macroeconomic dynamics: a structural investigation
Benati, Luca; Mumtaz, Haroon - 2007
We fit a Bayesian time-varying parameters structural VAR with stochastic volatility to the Federal Funds rate, GDP deflator inflation, real GDP growth, and the rate of growth of M2. We identify 4 shocks–monetary policy, demand non-policy, supply, and money demand–by imposing sign...
Persistent link: https://www.econbiz.de/10011604792
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A tail of labor supply and a tale of monetary policy
Cantore, Cristiano; Ferroni, Filippo; Mumtaz, Haroon; … - 2022
for consumption following a negative income shock. Therefore we show that the impact of inequality on the transmission …
Persistent link: https://www.econbiz.de/10013479456
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The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s
Akram, Q. Farooq; Mumtaz, Haroon - 2016
We use a TVP-VAR model to investigate possible changes in the time series properties of key Norwegian macroeconomic variables since the 1980s. The sample period is characterised by deregulation, globalization, sizable petroleum revenues, a switch from exchange rate to inflation targeting and...
Persistent link: https://www.econbiz.de/10012143879
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A tail of labor supply and a tale of monetary policy
Cantore, Cristiano; Ferroni, Filippo; Mumtaz, Haroon; … - 2022
for consumption following a negative income shock. Therefore we show that the impact of inequality on the transmission …
Persistent link: https://www.econbiz.de/10013273335
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U.S. Evolving Macroeconomic Dynamics : A Structural Investigation
Benati, Luca; Mumtaz, Haroon - 2021
We fit a Bayesian time-varying parameters structural VAR with stochastic volatility to the Federal Funds rate, GDP deflator inflation, real GDP growth, and the rate of growth of M2. We identify 4 shocks-monetary policy, demand non-policy, supply, and money demand-by imposing sign restrictions on...
Persistent link: https://www.econbiz.de/10013317172