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- Title
Evolving UK macroeconomic dynamics: a time-varying factor augmented VAR.
- Abstract
The article explores the dynamics of the macroeconomy using a vector autoregressions (VAR) model that incorporates a larger amount of economic information in Great Britain. It shows a decline in the volatility of shocks to inflation and real activity, and suggests that the economic stability extends to money, credit and asset prices. It concludes that the extra information included in the model improves the identification of the monetary policy shock.
- Subjects
UNITED Kingdom; MACROECONOMICS; AUTOREGRESSION (Statistics); MARKET volatility; MONETARY policy; ECONOMIC activity; ECONOMIC stabilization
- Publication
Bank of England Quarterly Bulletin, 2010, Vol 50, Issue 2, p127
- ISSN
0005-5166
- Publication type
Article