Next Article in Journal / Special Issue
Bayesian Calibration of Generalized Pools of Predictive Distributions
Previous Article in Journal / Special Issue
Timing Foreign Exchange Markets
Open AccessArticle

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
Econometrics 2016, 4(1), 16; https://doi.org/10.3390/econometrics4010016
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)
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
Show Figures

Figure 1

MDPI and ACS Style

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

Show more citation formats Show less citations formats
Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Access Map by Country/Region

1
Search more from Scilit
 
Search
Back to TopTop