Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility in the United Kingdom

Afees Salisu and Rangan Gupta

No 202041, Working Papers from University of Pretoria, Department of Economics

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.

Keywords: Non-Linear SVAR; Stochastic Volatility; Monetary Policy Shock (search for similar items in EconPapers)
JEL-codes: C32 E30 E40 E52 (search for similar items in EconPapers)
Pages: 9 pages
Date: 2020-05
New Economics Papers: this item is included in nep-cba, nep-eec, nep-mac, nep-mon, nep-ore and nep-sea
References: Add references at CitEc
Citations: View citations in EconPapers (4)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Dynamic effects of monetary policy shocks on macroeconomic volatility in the United Kingdom (2021)
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:pre:wpaper:202041

Access Statistics for this paper

More papers in Working Papers from University of Pretoria, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Rangan Gupta ().