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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 … 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
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The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
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
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Uncertainty shocks, banking frictions, and economic activity
Bonciani, Dario; Roye, Björn van - 2013
Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify …
Persistent link: https://www.econbiz.de/10009761866
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The evolving transmission of uncertainty shocks in the United Kingdom
Mumtaz, Haroon - In: Econometrics : open access journal 4 (2016) 1, pp. 1-18
This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial...
Persistent link: https://www.econbiz.de/10011505897
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Precautionary liquidity shocks, excess reserves and business cycles
Bratsiotis, George; Theodoridis, Konstantinos - 2020
(volatility) dependent effects on the real economy. To understand the transmission of the shock, we develop a DSGE model of …This paper identifies a precautionary banking liquidity shock via a set of sign, zero and forecast variance … restrictions imposed. The shock proxies the reluctance of the banking sector to "lend" to the real economy induced by an exogenous …
Persistent link: https://www.econbiz.de/10012483779
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Tracking global economic uncertainty : implications for the euro area
Bobasu, Alina; Geis, André; Quaglietti, Lucia; Ricci, … - 2021
area economic activity, with one standard deviation increase in the identified uncertainty shock subtracting around 0 …
Persistent link: https://www.econbiz.de/10012503567
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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
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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 …
Persistent link: https://www.econbiz.de/10011448758
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Perceived uncertainty shocks, excess optimism-pessimism, and learning in the business cycle
Chatterjee, Pratiti; Milani, Fabio - 2020
What are the effects of beliefs, sentiment, and uncertainty, over the business cycle? To answer this question, we develop a behavioral New Keynesian macroeconomic model, in which we relax the assumption of rational expectations. Agents are, instead, boundedly rational: they have a...
Persistent link: https://www.econbiz.de/10012294890
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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