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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 … 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

Fiscal policy shocks and stock prices in the United States

Mumtaz, Haroon; Theodoridis, Konstantinos - 2017

1980. Over the period 1955-1980 an expansionary spending or revenue shock was associated with modestly higher stock prices …. After 1980, along with a decline in the fiscal multiplier, the response of stock prices to the same shock became negative …

Persistent link: https://www.econbiz.de/10011627039

News shocks and labour market dynamics in matching models

Theodoridis, Konstantinos; Zanetti, Francesco - In: The Canadian journal of economics 49 (2016) 3, pp. 906-930

Persistent link: https://www.econbiz.de/10011641871

Do contractionary monetary policy shocks expand shadow banking?

Nelson, Benjamin F.; Pinter, Gabor; Theodoridis, … - 2015

Persistent link: https://www.econbiz.de/10010497552

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