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

被引：2
|
作者：
Salisu, Afees A. [1 ]
Gupta, Rangan [2 ]
机构：
[1] Univ Ibadan, Ctr Econometr & Allied Res, Ibadan, Nigeria
[2] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa
来源：
APPLIED ECONOMICS LETTERS | 2021年 / 28卷 / 18期
关键词：
Non-linear SVAR; stochastic volatility; monetary policy shock; United Kingdom; IDENTIFICATION;
D O I：
10.1080/13504851.2020.1834498
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：1594 / 1599
页数：6
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