It is our pleasure to host prof. Haroon Mumtaz (Queen Mary, University of London), who will present on Monday October 31, 2022 at 11:00 in room RB437 about his research on the topic „Impulse response estimation via flexible local projections"

BIO: Haroon Mumtaz is a full 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. Prof. Mumtaz works in the fields of Aplied Bayesian econometrics, Monetary policy, and International Macroeconomics. He has published in top journals like Journal of the European Economic Association, Economic Journal, Journal of Monetary Economics, Journal of Money, Credit and Banking, Journal of International Economics, and European Economic Review.

ABSTRACT:

This paper introduces a flexible local projection that generalises the model by Jorda (2005) to a non-parametric setting using Bayesian Additive Regression Trees. Monte Carlo experiments show that our BART-LP model is able to capture non-linearities in the impulse responses. Our first application shows that the fiscal multiplier is stronger in recession than expansion only in response to contractionary shocks, but not in response to expansionary shocks. We then show that financial shocks generate effects on the economy that increase more than proportionately in the size of the shock when the shock is negative, but not when the shock is positive.