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The impacts of oil price volatility on financial stress : is the COVID-19 period different?
Sheng, Xin; Kim, Woo Joong; Gupta, Rangan - 2021
Persistent link: https://www.econbiz.de/10012695792
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The impacts of oil price volatility on financial stress : is the COVID-19 period different?
Sheng, Xin; Kim, Won Joong; Gupta, Rangan; Ji, Qiang - In: International review of economics & finance : IREF 85 (2023), pp. 520-532
Persistent link: https://www.econbiz.de/10014428155
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Uncertainty matters : evidence from a high-frequency identification strategy
Alessandri, Piergiorgio; Gazzani, Andrea; Vicondoa, … - 2020
Persistent link: https://www.econbiz.de/10012301136
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Estimating financial integration in Europe : how to separate structural trends from cyclical fluctuations
Lake, Alfred; Maurin, Laurent; Minnella, Enrico - 2022
We construct a new indicator of de facto financial integration in the EU. The resulting indicator is pro-cyclical as it evolves along the cyclical pattern of economic activity in the European Union. It is then appended to a set of relevant financial and macroeconomic variables, within a FAVAR...
Persistent link: https://www.econbiz.de/10013453687
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Dynamic effects of monetary policy shocks on macroeconomic volatility
Mumtaz, Haroon; Theodoridis, Konstantinos - 2015
Epstein-Zin preferences to study the volatility implications of a monetary policy shock. An unexpected increases in the policy … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The … volatility effects of the shock are driven by agents' concern about the (in)ability of the monetary authority to reverse …
Persistent link: https://www.econbiz.de/10011389786
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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 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
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Great Moderation in the Japanese economy
Ko, Jun-hyung; Murase, Koichi - In: Japan and the world economy : international journal of … 27 (2013), pp. 10-24
Persistent link: https://www.econbiz.de/10010243010
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From the "Great Inflation" to the "Great Moderation" in Peru : a time varying structural vector autoregressions analysis
Castillo B., Paul; Montoya, Jimena; Quineche, Ricardo - 2016
Persistent link: https://www.econbiz.de/10011503984
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The changing transmission of uncertainty shocks in the US : an empirical analysis
Mumtaz, Haroon; Theodoridis, Konstantinos - 2014
develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its … 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