A1225
Title: Risk and monetary policy in a data-rich model
Authors: Haroon Mumtaz - Queen Mary University of London (United Kingdom) [presenting]
Abstract: The purpose is to quantify the role of financial conditions and U.S. monetary policy in shaping risk measures associated with a large set of economic indicators. Specifically, a factor-augmented VAR model is estimated with endogenous stochastic volatility, and U.S. financial and monetary policy shocks are isolated. Substantial heterogeneity is found in how risk evolves over the business cycle across economic indicators and across sectors of the economy. Furthermore, preliminary findings reveal that monetary policy can help reduce downside risks.
