Narrow search
Showing 1 - 10 of 6,687
Cover Image
The Macroeconomic Effects of Uncertainty Shocks : The Role of the Financial Channel
Popp, Aaron - 2016
This paper studies the macroeconomic effects of uncertainty shocks with an emphasis on the interaction between elevated uncertainty and credit market conditions when the economy is in different regimes (recessions vs. non-recessions). We use a smooth-transition factor-augmented vector...
Persistent link: https://www.econbiz.de/10013003975
Cover Image
Regime-dependent effects of uncertainty shocks : a structural interpretation
Lhuissier, Stéphane; Tripier, Fabien - In: Quantitative economics : QE ; journal of the … 12 (2021) 4, pp. 1139-1170
Using a Markov-switching VAR, we show that the effects of uncertainty shocks on output are four times higher in a regime of economic distress than in a tranquil regime. We then provide a structural interpretation of these facts. To do so, we develop a business cycle model in which agents are...
Persistent link: https://www.econbiz.de/10012795652
Cover Image
TFP news, stock market booms and the business cycle : revisiting the evidence with VEC models
Di Casola, Paola; Sichlimiris, Spyridon - 2020
Beaudry and Portier (2006) provide support for the "news view" of the business cycle, using a vector error correction model. We show that this result hinges on a cointegrating relationship between TFP and stock prices that is not stationary, thus making the estimates not reliable. If we alter...
Persistent link: https://www.econbiz.de/10012181050
Cover Image
Financial Conditions, Macroeconomic Uncertainty, and Macroeconomic Tail Risks
Huang, Yu-Fan; Liao, Wenting; Luo, Sui - 2022
This paper investigates how financial conditions and macroeconomic uncertainty jointly affect macroeconomic tail risks. We first document that tight financial conditions decrease all conditional quantiles of future output growth in the near term, while high macroeconomic uncertainty stretches...
Persistent link: https://www.econbiz.de/10014077293
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
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
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 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
Cover Image
A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul; Zhong, Molin - 2016 - This version: April 25, 2016
This paper proposes a multivariate stochastic volatility-in-vector autoregression model called the conditional … data so they are associated with changes in the volatility of the shocks hitting the macroeconomy. Second, we advance a new …
Persistent link: https://www.econbiz.de/10011500382
Cover Image
Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound
Caggiano, Giovanni - 2017
We employ a parsimonious nonlinear Interacted-VAR to examine whether the real effects of uncertainty shocks are greater when the economy is at the Zero Lower Bound. We find the contractionary effects of uncertainty shocks to be statistically larger when the ZLB is binding, with differences that...
Persistent link: https://www.econbiz.de/10012963804