The macroeconomic effects of uncertainty
This is a collection of my papers on the effects of economic uncertainty in an international economic context. Most of my works estimate uncertainty empirically as some form of stochastic volatility.
Boris Blagov
Economist
My research area is applied Macroeconomics, particularly using cutting edge mathematical models to analyse economic relationships and create better forecasts.
Publications
The investment narrative: Improving private investment forecasts with media data
In this paper we use newspaper articles to generate time series that are related to corporate investment and look at their ability to predict its dynamics.
Monetary policy uncertainty and inflation expectations
In this paper we study whether inflation expectations in the U.S. react to changes in monetary policy uncertainty (MPU) as measured through the volatility of monetary policy shocks. We find that while they did, the importance of MPU has diminished and that it has different effects on short versus long-term inflation expectations.
Exchange rate uncertainty and import prices in the euro area
This paper analyses the effects of exchange rate uncertainty on the pricing behaviour of import firms in the euro area. Uncertainty is measured via the volatility of the structural shocks to the exchange rate in a non-linear VAR framework and is an important determinant of import prices. An increase in exchange rate uncertainty is associated with a fall in prices on average, which suggests that the exchange rate risk is borne by the importers. The analysis utilizes a dataset on industrial import prices, disaggregated by origin of imports. Controlling for intra- and extra-euro area trade is important.
Financial crises and time-varying risk premia in a small open economy: a Markov-switching DSGE model for Estonia
Under a currency board, the central bank relinquishes control over its monetary policy and domestic interest rates converge towards the …
The credibility of Hong Kong's currency board system: looking through the prism of MS‐VAR models with time‐varying transition probabilities
This paper employs a Markov regime‐switching VAR model to describe and analyse the time‐varying credibility of Hong Kong’s …
