The Impact of the Volatility of Monetary Policy Shocks

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Measuring Uncertainty and Its Impact on the Economy (2016, unknown): “Mumtaz (2011), Mumtaz and Zanetti (2013), Jo (2014) and Shin and Zhong (2015) consider multivariate extensions with independent volatility processes.”
Economic Policy Uncertainty Spillovers in Booms and Busts (2019, unknown): “Proxies for conceptually different uncertainty measures have been constructed by using forecast disagreement (Bachmann, Elstner and Sims, 2013), real GDP forecast errors (Rossi and Sekhposyan, 2015, 2017), forecast errors of several macroeconomic and financial indicators (Jurado, Ludvigson and Ng, 2”
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…”
The Stochastic Volatility in Mean Model With Time-Varying Parameters: An Application to Inflation Modeling (2017, methodology): “More recently, the SVM model has been used to fit macroeconomic data, as in Berument, Yalcin, and Yildirim (2009) for investigating the inflation–inflation uncertainty relationship and Mumtaz and Zanetti (2013) for examining the impact of monetary shocks volatility.”