The evolving transmission of uncertainty shocks in the United Kingdom

Artikel

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial variables. We find that the impact of uncertainty shocks on these variables has declined over time. The timing of the change coincides with the introduction of inflation targeting in the U.K.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 4 ; Year: 2016 ; Issue: 1 ; Pages: 1-18 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft ; Statistical Simulation Methods: General ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Business Fluctuations; Cycles
• Subject: TVP-VAR ; stochastic volatility ; uncertainty shocks

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Mumtaz, Haroon
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2016

Further information

• DOI: doi:10.3390/econometrics4010016
• Handle: http://hdl.handle.net/10419/171869
• Last update: 10.03.2025, 11:44 AM CET