Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122067
Authors: 
Mumtaz, Haroon
Theodoridis, Konstantinos
Year of Publication: 
2014
Series/Report no.: 
Working Paper, School of Economics and Finance, Queen Mary, University of London 735
Abstract: 
This paper investigates if the impact of uncertainty shocks on the US economy has changed over time. To this end, we develop an extended Factor Augmented VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on a range of variables. We find that the impact of uncertainty shocks on real activity and financial variables has declined systematically over time. In contrast, the response of inflation and the short-term interest rate to this shock has remained fairly stable. Simulations from a non-linear DSGE model suggest that these empirical results are consistent with an increase in the monetary authorities' anti-inflation stance and a 'flattening' of the Phillips curve.
Subjects: 
FAVAR
Stochastic volatility
Uncertainty shocks
DSGE model
JEL: 
C15
C32
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
973.52 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.