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The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR

Liu, Philip; Mumtaz, Haroon; Theophilopoulou, Angeliki

Description

The aim of this paper is to gauge the importance of foreign demand, supply and interest rate shocks on the UK economy and assess how their role has changed over time. To that end we devise a time-varying factor augmented VAR model that captures the relationship between 17 industrialised countries and the UK and accounts for any temporal evolution in this relationship. The response of UK macroeconomic variables to a foreign interest rate shock is estimated to have changed significantly since the...[Show more]

CollectionsANU Research Publications
Date published: 2014
Type: Journal article
URI: http://hdl.handle.net/1885/103464
Source: Journal of International Money and Finance
DOI: 10.1016/j.jimonfin.2014.03.004

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