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Econometrics 2016, 4(1), 16; doi:10.3390/econometrics4010016

The Evolving Transmission of Uncertainty Shocks in the United Kingdom

School of Economics and Finance, Queen Mary College, London E1 4NS, UK
Academic Editors: Francesco Ravazzolo, Herman K. van Dijk, Nalan Basturk and Roberto Casarin
Received: 4 September 2015 / Revised: 30 November 2015 / Accepted: 28 January 2016 / Published: 14 March 2016
(This article belongs to the Special Issue Computational Complexity in Bayesian Econometric Analysis)
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Abstract

This paper investigates if the impact of uncertainty shocks on the U.K. economy has changed over time. To this end, we propose an extended time-varying VAR model that simultaneously allows the estimation of a measure of uncertainty and its time-varying impact on key macroeconomic and financial variables. We find that the impact of uncertainty shocks on these variables has declined over time. The timing of the change coincides with the introduction of inflation targeting in the U.K. View Full-Text
Keywords: TVP-VAR; stochastic volatility; uncertainty shocks TVP-VAR; stochastic volatility; uncertainty shocks
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Mumtaz, H. The Evolving Transmission of Uncertainty Shocks in the United Kingdom. Econometrics 2016, 4, 16.

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