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- Title
THE DECLINE IN THE VOLATILITY OF THE BUSINESS CYCLES IN THE UK.
- Authors
ATANASOVA, CHRISTINA V.; JIANHUA GANG
- Abstract
We analyse the sources of the decline of business cycle volatility in the UK using a dynamic factor model that allows for the presence of a structural break in the conditional mean and variance of output, sales, income and unemployment. We augment the factor model with an economic component to investigate the role of structural changes and improved monetary policy in the volatility decline of the series. Our results suggest that the dominant cause for the observed volatility decline is the reduced variability of shocks.
- Subjects
UNITED Kingdom; BUSINESS cycles; FINANCIAL markets; BUSINESS conditions; ECONOMIC policy; ECONOMIC activity; MONETARY policy; PUBLIC spending; FISCAL policy
- Publication
Manchester School (1463-6786), 2008, Vol 76, p14
- ISSN
1463-6786
- Publication type
Article
- DOI
10.1111/j.1467-9957.2008.01079.x