THE INTERNATIONAL TRANSMISSION OF VOLATILITY SHOCKS: AN EMPIRICAL ANALYSIS

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International Spillovers of Policy Uncertainty (2014, unknown): “Mumtaz and Theodoridis (2012) investigate the transmission of U.S. GDP growth volatility shocks to the United Kingdom using a structural vector autoregressive (VAR) model with time-varying volatility.”
Policy uncertainty and aggregate fluctuations (2018, unknown): “This framework builds upon and extends the empirical models in Mumtaz and Zanetti (2013) and Mumtaz and Theodoridis (2015), with the main departures being the iden-ti(cid:133)cation of the policy uncertainty shocks, especially those related to (cid:133)scal policy, as well as the novel focus on…”
Economic policy uncertainty in the US: Does it matter for the Euro area? (2013, background): “As for the literature dealing with uncertainty shocks, Mumtaz and Theodoridis (2012) estimate an open-economy VAR focusing on the potential impact of the volatility of shocks to US real activity on UK.”
Common and country specific economic uncertainty (2017, methodology): “The proposed New Keynesian model features two-countries with recursive preferences ( Epstein and Zin (1989) and Weil (1989, 1990)) and long-run risk (Bansal and Yaron (2004), Rabanal et al. (2011) and Rabanal and Rubio-Ramirez (2015)). The work Colacito and Croce (2013), Kollmann (2015) and Gourio e”