Salisu, Afees A.Gupta, Rangan2021-02-252021Salisu, 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: 10.1080/13504851.2020.1834498.1350-4851 (print)1466-4291 (online)10.1080/13504851.2020.1834498http://hdl.handle.net/2263/78830We 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© 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.Non-linear SVARStructural vector autoregressions (SVAR)Stochastic volatilityMonetary policy shockUnited Kingdom (UK)Postprint Article