Econometrics Seminar Series. "Risk and Monetary Policy in a Data-Rich Model", with Dario Caldara and Molin Zhong
Published: 18 September 2024
27 September 2024. Professor Haroon Mumtaz, Queen Mary University of London
Professor Haroon Mumtaz, Queen Mary University of London
"Risk and Monetary Policy in a Data-Rich Model", with Dario Caldara and Molin Zhong
Friday, 27 September 2024. 15:00-16:30
Room 141A, Adam Smith Business School Building
Abstract
In this paper, we quantify the role of financial conditions and U.S. monetary policy in shaping risk measures associated with a large set of economic indicators. Specifically, we estimate a factor augmented VAR model with endogenous stochastic volatility and isolate U.S. financial and monetary policy shocks. We find substantial heterogeneity in how risk evolves over the business cycle both across economic indicators and across sectors of the economy. Furthermore, preliminary findings reveal that monetary policy can help reduce downside risks.
Bio
Haroon Mumtaz is a Professor of Economics at Queen Mary University of London.
His research interests are in applied Bayesian econometrics, monetary policy and International Macroeconomics.
Previously Haroon was an economist at the Centre of Central Banking Studies in the Bank of England.
For further information, please contact business-seminar-series@glasgow.ac.uk.
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First published: 18 September 2024
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