Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom

dc.contributor.authorSalisu, Afees A.
dc.contributor.authorGupta, Rangan
dc.contributor.emailrangan.gupta@up.ac.zaen_ZA
dc.date.accessioned2021-02-25T06:07:49Z
dc.date.issued2021
dc.description.abstractWe use constant and time-varying parameters vector autoregressive models that allow the estimation of the impact of monetary policy shocks on volatility of macroeconomic variables in the United Kingdom. Estimates suggest that an increase in the policy rate by 1% is associated with a rise in unemployment and inflation volatility of about 10% on average, with peaks observed during episodes of local and global crises.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.embargo2022-04-18
dc.description.librarianhj2021en_ZA
dc.description.urihttp://www.tandfonline.com/loi/rael20en_ZA
dc.identifier.citationSalisu, A.A. & Gupta, R. 2021, 'Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom', Applied Economics Letters, vol. 28, no. 18, pp. 1594-1599, doi: 10.1080/13504851.2020.1834498.en_ZA
dc.identifier.issn1350-4851 (print)
dc.identifier.issn1466-4291 (online)
dc.identifier.other10.1080/13504851.2020.1834498
dc.identifier.urihttp://hdl.handle.net/2263/78830
dc.language.isoenen_ZA
dc.publisherRoutledgeen_ZA
dc.rights© 2020 Informa UK Limited, trading as Taylor & Francis Group. This is an electronic version of an article published in Applied Economics Letters, vol. 28, no. 18, pp. 1594-1599, 2020. doi : 10.1080/13504851.2020.1834498. Applied Economics Letters is available online at : http://www.tandfonline.com/loi/rael20.en_ZA
dc.subjectNon-linear SVARen_ZA
dc.subjectStructural vector autoregressions (SVAR)en_ZA
dc.subjectStochastic volatilityen_ZA
dc.subjectMonetary policy shocken_ZA
dc.subjectUnited Kingdom (UK)en_ZA
dc.titleDynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdomen_ZA
dc.typePostprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
Salisu_Dynamic_2021.pdf
Size:
438.55 KB
Format:
Adobe Portable Document Format
Description:
Postprint Article
Download

License bundle

Now showing 1 - 1 of 1
Thumbnail Image
Name:
license.txt
Size:
1.75 KB
Format:
Item-specific license agreed upon to submission
Description:
Download

Collections

Research Articles (Economics)
Research Articles (University of Pretoria)
Simple item page