UK macroeconomic volatility : historical evidence over seven centuries

Show simple item record Plakandaras, Vasilios Gupta, Rangan Wohar, Mark E. 2019-05-13T13:22:39Z 2018-07
dc.description.abstract Breaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270–2016 — the entire economic history of the U.K. Focusing on permanent and transitory shocks in the economy, we study the fluctuation in conditional volatilities and time-varying long-run responses of output growth and inflation. Unlike all previous studies that use time invariant linear models, our approach reveals that the pre 1600 period is a turbulent economic period of high volatility that is only repeated in the 20th century. The repeating patterns in the conditional volatilities follow from aggregate supply shocks, while most of the inflation responses follow from aggregate demand shocks. Thus, we uncover that despite the technological growth and the various changes in the structure of the U.K. economy in the last century, the recurring patterns call for an examination of the true impact of the various policies on the economy. en_ZA
dc.description.department Economics en_ZA
dc.description.embargo 2020-07-01
dc.description.librarian hj2019 en_ZA
dc.description.uri en_ZA
dc.identifier.citation Plakandaras, V., Gupta, R. & Wohar, M.E. 2018, 'UK macroeconomic volatility : historical evidence over seven centuries', Journal of Policy Modeling, vol. 40, no. 4, pp. 767-789. en_ZA
dc.identifier.issn 0161-8938 (print)
dc.identifier.issn 1873-8060 (online)
dc.identifier.other 10.1016/j.jpolmod.2018.04.002
dc.language.iso en en_ZA
dc.publisher Elsevier en_ZA
dc.rights © 2018 The Society for Policy Modeling. Published by Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in Journal of Policy Modeling. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in Journal of Policy Modeling, vol. 40, no. 4, pp. 767-789, 2018. doi : 10.1016/j.jpolmod.2018.04.002. en_ZA
dc.subject Time-varying parameter vector autoregressive (TVP-VAR) en_ZA
dc.subject Macroeconomic shocks en_ZA
dc.subject Vector autoregression (VAR) en_ZA
dc.title UK macroeconomic volatility : historical evidence over seven centuries en_ZA
dc.type Postprint Article en_ZA

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