Inflation output UK TP_VAR Paper_JPM_final_Revised.pdf (2.01 MB)
UK macroeconomic volatility: Historical evidence over seven centuries
journal contribution
posted on 2018-09-20, 15:12 authored by Vasilios Plakandaras, Rangan Gupta, Mark WoharBreaking ground from all previous studies, we estimate a time-varying Vector Autoregression model that examines the time-period 1270–2016 — the entire economic history of the U.K. Focusing on permanent and transitory shocks in the economy, we study the fluctuation in conditional volatilities and time-varying long-run responses of output growth and inflation. Unlike all previous studies that use time invariant linear models, our approach reveals that the pre 1600 period is a turbulent economic period of high volatility that is only repeated in the 20th century. The repeating patterns in the conditional volatilities follow from aggregate supply shocks, while most of the inflation responses follow from aggregate demand shocks. Thus, we uncover that despite the technological growth and the various changes in the structure of the U.K. economy in the last century, the recurring patterns call for an examination of the true impact of the various policies on the economy.
History
School
- Business and Economics
Department
- Business
Published in
Journal of Policy ModelingCitation
PLAKANDARAS, V., GUPTA, R. and WOHAR, M.E., 2018. UK macroeconomic volatility: Historical evidence over seven centuries. Journal of Policy Modeling, 40 (4), pp.767-789.Publisher
Elsevier © The Society for Policy ModelingVersion
- AM (Accepted Manuscript)
Publisher statement
This paper was accepted for publication in the journal Journal of Policy Modeling and the definitive published version is available at https://doi.org/10.1016/j.jpolmod.2018.04.002.Acceptance date
2018-04-23Publication date
2018-05-03ISSN
0161-8938Publisher version
Language
- en