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Large vector autoregressions with asymmetric priors

Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015

We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors and time varying volatilities, even when the cross sectional dimension of the system N is particularly large. The algorithm is based on a simple triangularisation which allows to...

Persistent link: https://www.econbiz.de/10011389735

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 … rate by 150 basis points causes output and inflation volatility to rise around 10% above their steady-state standard … deviations. VAR based empirical results support the model implications that contractionary shocks increase volatility. The …

Persistent link: https://www.econbiz.de/10011389786

Volatility co-movement and the great moderation : an empirical analysis

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

volatility of US and UK GDP growth appears to have become increasingly correlated in the recent past. …

Persistent link: https://www.econbiz.de/10011554403

Common and country specific economic uncertainty

Mumtaz, Haroon; Theodoridis, Konstantinos - 2015

increased globalisation and trade openness may be the driving force behind the increased cross-country correlation in volatility. …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 …

Persistent link: https://www.econbiz.de/10011306276

Econometric analysis of financial derivatives : an overview

Chang, Chia-Lin; McAleer, Michael - 2014

Persistent link: https://www.econbiz.de/10011296515

A generalised stochastic volatility in mean VAR

Mumtaz, Haroon - 2018

This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …

Persistent link: https://www.econbiz.de/10011812167

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

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

The evolving impact of global, region-speci c and country-speci c uncertainty

Mumtazy, Haroon; Mussoz, Alberto - 2018

We develop a dynamic factor model with time-varying parameters and stochastic volatility, estimate it with several … findings, the estimates suggest that global uncertainty plays a primary role in explaining the volatility of inflation …

Persistent link: https://www.econbiz.de/10011904508

Fat-tails in VAR models

Chiu, Ching Wai Jeremy; Mumtaz, Haroon; Pinter, Gabor - 2014

volatility and Student-t disturbances outperforms restricted alternatives that feature either attributes. The VAR model with …

Persistent link: https://www.econbiz.de/10010339759