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Robust inference intime-varying structural VAR models : the DC-Cholesky multivariate stochasticvolatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model.It establishes that systematically different dynamic restrictions are imposed whenthe ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012250452
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Robust inference in time-varying structural VAR models : the DC-cholesky multivariate stochastic volatility model
Hartwig, Benny - 2020
This paper investigates how the ordering of variables affects properties of the time-varying covariance matrix in the Cholesky multivariate stochastic volatility model. It establishes that systematically different dynamic restrictions are imposed when the ratio of volatilities is time-varying....
Persistent link: https://www.econbiz.de/10012424283
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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 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
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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 growth in US states. The results suggest that there is a large degree of heterogeneity in the magnitude and the persistence of the response to uncertainty shocks across states....
Persistent link: https://www.econbiz.de/10011448758
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Identifying monetary policy and central bank information shocks using high-frequency exchange rates
Holtemöller, Oliver; Kriwoluzky, Alexander; Kwak, Boreum - 2019
level clearly. A positive information shock which also induces increases in interest rate is perceived by private agents as …
Persistent link: https://www.econbiz.de/10012304714
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Global impacts of US monetary policy uncertainty shocks
Lastauskas, Povilas; Nguyen, Anh D. M. - 2021
We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...
Persistent link: https://www.econbiz.de/10012418859
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A counterfactual economic analysis of Covid-19 using a threshold augmented multi-country model
Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; … - 2020
factors from trade-related spillovers, and identify the Covid-19 shock using GDP growth forecast revisions of the IMF in 2020Q …
Persistent link: https://www.econbiz.de/10012293790
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Announcement-specific decompositions of unconventional monetary policy shocks and their macroeconomic effects
Lewis, Daniel J. - 2019
the real economy, I find that the asset purchase shock has significant effects on consumer and professional expectations …
Persistent link: https://www.econbiz.de/10012022250
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Identifying shocks via time-varying volatility
Lewis, Daniel J. - 2018
An n-variable structural vector auto-regression (SVAR) can be identified (up to shock order) from the evolution of the … process. I propose a new identification argument that identifies the SVAR up to shock orderings using the autocovariance … structure of second moments of the residuals implied by an arbitrary stochastic process for the shock variances. These higher …
Persistent link: https://www.econbiz.de/10011926201