Narrow search
Showing 1 - 10 of 20,163
Cover Image
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
Cover Image
Uncertainty shocks, banking frictions, and economic activity
Bonciani, Dario; Roye, Björn van - 2013
In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...
Persistent link: https://www.econbiz.de/10009761866
Cover Image
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
Cover Image
When it rains it pours : cascading uncertainty shocks
Diercks, Anthony M.; Hsu, Alex; Tamoni, Andrea - 2020 - This version: August 10, 2020
Persistent link: https://www.econbiz.de/10012389084
Cover Image
The level effect and volatility effect of uncertainty shocks in China
Zhang, Shangfeng; Liu, Yaoxin; Chen, Haitong; Zhu, Chun; … - In: Economic research 34 (2021) 1,1, pp. 172-193
Persistent link: https://www.econbiz.de/10013341482
Cover Image
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
Cover Image
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
Cover Image
Growth uncertainty, generalized disappointment aversion and production-based asset pricing
Liu, Hening; Miao, Jianjun - In: Journal of monetary economics 69 (2015), pp. 70-89
Persistent link: https://www.econbiz.de/10011326683
Cover Image
Managing macrofinancial risk
Adrian, Tobias; Vitek, Francis - 2020
We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...
Persistent link: https://www.econbiz.de/10012300643
Cover Image
Structural news shock, financial market uncertainty and China's business fluctuations
Ding, Yibing; Liu, Ziyu; Liu, Dayu - In: Pacific-Basin finance journal 76 (2022), pp. 1-17
Persistent link: https://www.econbiz.de/10013552812