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A time-varying parameter structural model of the UK economy
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dc.contributor.author | Kapetanios, George | |
dc.contributor.author | Masolo, Riccardo M. | |
dc.contributor.author | Petrova, Katerina | |
dc.contributor.author | Waldron, Matthew | |
dc.date.accessioned | 2021-05-27T23:41:13Z | |
dc.date.available | 2021-05-27T23:41:13Z | |
dc.date.issued | 2019-09 | |
dc.identifier | 259158250 | |
dc.identifier | 33d49455-5ebb-48b4-992d-03423a53fe5a | |
dc.identifier | 85069919773 | |
dc.identifier | 000489194300003 | |
dc.identifier.citation | Kapetanios , 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.2019.05.012 | en |
dc.identifier.issn | 0165-1889 | |
dc.identifier.other | RIS: urn:72CCB7F9D0BF6E9A3CF76802C0908DDE | |
dc.identifier.other | ORCID: /0000-0002-3155-2938/work/58056135 | |
dc.identifier.uri | https://hdl.handle.net/10023/23267 | |
dc.description | Katerina Petrova acknowledges support by the Alan Turing Institute under the EPSRC grant EP/N510129/1. | en |
dc.description.abstract | We 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.extent | 26 | |
dc.format.extent | 3803439 | |
dc.language.iso | eng | |
dc.relation.ispartof | Journal of Economic Dynamics and Control | en |
dc.subject | DSGE models | en |
dc.subject | Open economy | en |
dc.subject | Time varying parameters | en |
dc.subject | UK economy | en |
dc.subject | HB Economic Theory | en |
dc.subject | 3rd-NDAS | en |
dc.subject | BDC | en |
dc.subject | R2C | en |
dc.subject.lcc | HB | en |
dc.title | A time-varying parameter structural model of the UK economy | en |
dc.type | Journal article | en |
dc.contributor.institution | University of St Andrews. School of Economics and Finance | en |
dc.identifier.doi | 10.1016/j.jedc.2019.05.012 | |
dc.description.status | Peer reviewed | en |
dc.date.embargoedUntil | 2021-05-28 |
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