The "Great Moderation" in the United Kingdom

Luca Benati ()

No 769, Working Paper Series from European Central Bank

Abstract: We use a Bayesian time-varying parameters structural VAR with stochastic volatility for GDP deflator inflation, real GDP growth, a 3-month nominal rate, and the rate of growth of M4 to investigate the underlying causes of the Great Moderation in the United Kingdom. Our evidence points towards a dominant role played by shocks in fostering the more stable macroeconomic environment of the last two decades. Results from counter-factual simulations, in particular, show that (1) the Great Inflation was due, to a dominant extent, to large demand non-policy shocks, and to a lesser extent JEL Classification: E32, E47, E52, E58

Keywords: Bayesian VARs; European Monetary System; frequency domain; great inflation; identified VARs; lucas critique; policy counterfactuals; stochastic volatility; timevarying parameters (search for similar items in EconPapers)
Date: 2007-06
Note: 802546
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp769.pdf (application/pdf)

Related works:
Journal Article: The "Great Moderation" in the United Kingdom (2008)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:2007769

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().