A Structural Vector Autoregression Model of the UK Business Cycle

Paul Turner ()

Scottish Journal of Political Economy, 1993, vol. 40, issue 2, 143-64

Abstract: This paper presents a model of the U.K. business cycle using quarterly data from 1955q1 to 1989q1. The methodology adopted is that of the structural vector autoregression, which combines unrestricted dynamics with restrictions on the contemporaneous interactions of variables derived from economic theory. Variance decompositions indicate that supply side disturbances have little role in explaining fluctuations in real output but unemployment is found to be sensitive to wage, price, and monetary disturbances. Monetary shocks produce dynamic effects similar to those described by economic theory but explain only a small part of the observed fluctuations in real magnitudes. Copyright 1993 by Scottish Economic Society.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bla:scotjp:v:40:y:1993:i:2:p:143-64

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