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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

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

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/10011796517

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

Mumtaz, Haroon; Theodoridis, Konstantinos - 2016

We propose an extended time-varying parameter Vector Autoregression that allows for an evolving relationship between the variances of the shocks. Using this model, we show that the relationship between the conditional variance of GDP growth and the long-term interest rate has become weaker over...

Persistent link: https://www.econbiz.de/10011796528

The macroeconomic cost of climate volatility

Alessandri, Piergiorgio; Mumtaz, Haroon - 2021

We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...

Persistent link: https://www.econbiz.de/10013254715

Impulse response estimation via flexible local projections

Mumtaz, Haroon; Piffer, Michele - 2022

This paper introduces a exible local projection that generalises the model by Jordà (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application...

Persistent link: https://www.econbiz.de/10014480365