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The Role of Oil Prices and Monetary Policy in the Norwegian Economy Since the 1980s

Akram, Q. Farooq; Mumtaz, Haroon - 2016

switch from exchange rate to inflation targeting and adoption of a policy rule for the use of petroleum revenues.We find that … the long-run means of CPI and core inflation rates declined significantly until the mid-1990s and have since then remained … close to the inflation target of 2.5% from 2001 onwards. The persistence in especially CPI inflation has fallen during the …

Persistent link: https://www.econbiz.de/10012143879

Hedging and pricing in imperfect markets under non-convexity

Assa, Hirbod; Gospodinov, Nikolay - 2014

This paper proposes a robust approach to hedging and pricing in the presence of market imperfections such as market incompleteness and frictions. The generality of this framework allows us to conduct an in-depth theoretical analysis of hedging strategies for a wide family of risk measures and...

Persistent link: https://www.econbiz.de/10010397681

Minimum distance estimation of possibly non-invertible moving average models

Gospodinov, Nikolay; Ng, Serena - 2013

This paper considers estimation of moving average (MA) models with non-Gaussian errors. Information in higher-order cumulants allows identification of the parameters without imposing invertibility. By allowing for an unbounded parameter space, the generalized method of moments estimator of the...

Persistent link: https://www.econbiz.de/10010397701

The changing transmission of uncertainty shocks in the US: An empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2014

variables has declined systematically over time. In contrast, the response of inflation and the short-term interest rate to this … consistent with an increase in the monetary authorities' anti-inflation stance and a 'flattening' of the Phillips curve. …

Persistent link: https://www.econbiz.de/10011380989

Financial regimes and uncertainty shocks

Alessandri, Piergiorgio; Mumtaz, Haroon - 2014

Financial markets are central to the transmission of uncertainty shocks. This paper documents a new aspect of the interaction between the two by showing that uncertainty shocks have radically different macroeconomic implications depending on the state financial markets are in when they occur....

Persistent link: https://www.econbiz.de/10011380991

Global economic divergence and portfolio capital flows to emerging markets

Mandalinci, Zeyyad; Mumtaz, Haroon - 2015

This paper studies the role of global and regional variations in economic activity and policy in developed world in driving portfolio capital flows (PCF) to emerging markets (EMs) in a Factor Augmented Vector Autoregressive (FAVAR) framework. Results suggest that PCFs to EMs depend mainly on...

Persistent link: https://www.econbiz.de/10011380997

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/10011381007

What do VARs tell us about the impact of a credit supply shock?

Mumtaz, Haroon; Pinter, Gabor; Theodoridis, Konstantinos - 2015

, on average, that credit supply shocks that raise spreads by 10 basis points reduce GDP growth and inflation by 1% after …

Persistent link: https://www.econbiz.de/10011381010

Multivariate return decomposition: Theory and implications

Anatolyev, Stanislav; Gospodinov, Nikolay - 2015

In this paper, we propose a model based on multivariate decomposition of multiplicative - absolute values and signs - components of several returns. In the m-variate case, the marginals for the m absolute values and the binary marginals for the m directions are linked through a 2m-dimensional...

Persistent link: https://www.econbiz.de/10011460618

Foreign exchange predictability during the financial crisis: Implications for carry trade profitability

Anatolyev, Stanislav; Gospodinov, Nikolay; Jamali, Ibrahim - 2015

In this paper, we study the effectiveness of carry trade strategies during and after the financial crisis using a flexible approach to modeling currency returns. We decompose the currency returns into multiplicative sign and absolute return components, which exhibit much greater predictability...

Persistent link: https://www.econbiz.de/10011460619