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- Title
The international transmission of volatility shocks: an empirical analysis.
- Authors
Mumtaz, Haroon; Theodoridis, Konstantinos
- Abstract
The article discusses the impact of financial crisis on the economy of Great Britain. It mentions that an extension of vector auto regression model (VARS) has been used to measure the impact of the financial volatility. It highlights that during estimation several factors including the growth domestic product, consumer price index, inflation and bank rates of the U.S. and Great Britain.
- Subjects
UNITED States; UNITED Kingdom; GLOBAL Financial Crisis, 2008-2009; VECTOR autoregression model; MARKET volatility; GROSS domestic product; CONSUMER price indexes; PRIME rate
- Publication
Bank of England Quarterly Bulletin, 2012, Vol 52, Issue 4, p364
- ISSN
0005-5166
- Publication type
Article