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dc.contributor.authorKapetanios, George
dc.contributor.authorMasolo, Riccardo M.
dc.contributor.authorPetrova, Katerina
dc.contributor.authorWaldron, Matthew
dc.date.accessioned2021-05-27T23:41:13Z
dc.date.available2021-05-27T23:41:13Z
dc.date.issued2019-09
dc.identifier.citationKapetanios , G , Masolo , R M , Petrova , K & Waldron , M 2019 , ' A time-varying parameter structural model of the UK economy ' , Journal of Economic Dynamics and Control , vol. 106 , 103705 . https://doi.org/10.1016/j.jedc.2019.05.012en
dc.identifier.issn0165-1889
dc.identifier.otherPURE: 259158250
dc.identifier.otherPURE UUID: 33d49455-5ebb-48b4-992d-03423a53fe5a
dc.identifier.otherRIS: urn:72CCB7F9D0BF6E9A3CF76802C0908DDE
dc.identifier.otherORCID: /0000-0002-3155-2938/work/58056135
dc.identifier.otherScopus: 85069919773
dc.identifier.otherWOS: 000489194300003
dc.identifier.urihttp://hdl.handle.net/10023/23267
dc.descriptionKaterina Petrova acknowledges support by the Alan Turing Institute under the EPSRC grant EP/N510129/1.en
dc.description.abstractWe estimate a time-varying parameter structural macroeconomic model of the UK economy, using a Bayesian local likelihood methodology. This enables us to estimate a large open-economy DSGE model over a sample that comprises several different monetary policy regimes and an incomplete set of data. Our estimation identifies a gradual shift to a monetary policy regime characterised by an increased responsiveness of policy towards inflation alongside a decrease in the inflation trend down to the two percent target level. The time-varying model also performs remarkably well in forecasting and delivers statistically significant accuracy improvements for most variables and horizons for both point and density forecasts compared to the standard fixed-parameter version.
dc.format.extent26
dc.language.isoeng
dc.relation.ispartofJournal of Economic Dynamics and Controlen
dc.rightsCopyright Crown Copyright © 2019 Published by Elsevier B.V. All rights reserved. This work has been made available online in accordance with the publisher’s policies. This is the author created, accepted version manuscript following peer review and may differ slightly from the final published version. The final published version of this work is available at https://doi.org/10.1016/j.jedc.2019.05.012en
dc.subjectDSGE modelsen
dc.subjectOpen economyen
dc.subjectTime varying parametersen
dc.subjectUK economyen
dc.subjectHB Economic Theoryen
dc.subject3rd-NDASen
dc.subjectBDCen
dc.subjectR2Cen
dc.subject.lccHBen
dc.titleA time-varying parameter structural model of the UK economyen
dc.typeJournal articleen
dc.description.versionPostprinten
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen
dc.identifier.doihttps://doi.org/10.1016/j.jedc.2019.05.012
dc.description.statusPeer revieweden
dc.date.embargoedUntil2021-05-28


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