An assessment of UK macroeconomic volatility: historical evidence using over seven centuries of data

dc.contributor.authorPlakandaras, Vasilios
dc.contributor.authorGupta, Rangan
dc.contributor.authorWohar, Mark E.
dc.date.accessioned2019-03-27T07:42:32Z
dc.date.available2019-03-27T07:42:32Z
dc.date.issued2018-04
dc.description.abstractBreaking 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 the approach of 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 to the economy.en_ZA
dc.description.departmentEconomicsen_ZA
dc.description.librarianhj2019en_ZA
dc.description.urihttps://www.elsevier.com/solutions/ssrnen_ZA
dc.identifier.citationPlakandaras, Vasilios and Gupta, Rangan and Wohar, Mark E., An Assessment of UK Macroeconomic Volatility: Historical Evidence Using Over Seven Centuries of Data (April 20, 2018). Available at SSRN: https://ssrn.com/abstract=3275916 or http://dx.doi.org/10.2139/ssrn.3275916.en_ZA
dc.identifier.issn1556-5068
dc.identifier.other10.2139/ssrn.3275916
dc.identifier.urihttp://hdl.handle.net/2263/68720
dc.language.isoenen_ZA
dc.publisherElsevieren_ZA
dc.rightsSSRN is an open-access online preprint communityen_ZA
dc.subjectTime-varying parameter vector autoregressive (TVP-VAR)en_ZA
dc.subjectMacroeconomic shocksen_ZA
dc.subjectMacroeconomic volatilityen_ZA
dc.subjectUnited Kingdom (UK)en_ZA
dc.titleAn assessment of UK macroeconomic volatility: historical evidence using over seven centuries of dataen_ZA
dc.typePreprint Articleen_ZA

Files

Original bundle

Now showing 1 - 1 of 1
Loading...
Thumbnail Image
Name:
Plakandaras_Assessment_2018.pdf
Size:
1.45 MB
Format:
Adobe Portable Document Format
Description:
Preprint Article

License bundle

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