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

Afees Salisu and Rangan Gupta

Applied Economics Letters, 2021, vol. 28, issue 18, 1594-1599

Abstract: We 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.

Date: 2021
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Working Paper: Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom (2020)
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DOI: 10.1080/13504851.2020.1834498

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