Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach

Gefang, Deborah and Strachan, Rodney (2010) Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach. Studies in Nonlinear Dynamics and Econometrics, 14 1: 2-1-2-34. doi:10.2202/1558-3708.1677

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Author Gefang, Deborah
Strachan, Rodney
Title Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach
Journal name Studies in Nonlinear Dynamics and Econometrics   Check publisher's open access policy
ISSN 1558-3708
Publication date 2010-01-01
Sub-type Article (original research)
DOI 10.2202/1558-3708.1677
Open Access Status File (Publisher version)
Volume 14
Issue 1
Start page 2-1
End page 2-34
Total pages 34
Place of publication Berkeley, United States
Publisher Berkeley Electronic Press
Collection year 2011
Language eng
Abstract Employing a Bayesian approach, we investigate the impact of international business cycles on the U.K. economy in the context of a smooth transition VAR. We find that the British business cycle is asymmetrically influenced by growth in the U.S., France and Germany. Overall, positive and negative shocks generating in the U.S. or France affect the U.K. in the same directions as the shock. However, a shock emanating from Germany, whether positive or negative, always exerts negative cumulative effects on the U.K. Further, a positive shock arising from Germany adversely affects the U.K. output growth more than a negative shock of the same size. Copyright © 2009 The Berkeley Electronic Press. All rights reserved.
Keyword Monetary-policy
Changing world
US
Models
Q-Index Code C1
Q-Index Status Confirmed Code
Institutional Status UQ
Additional Notes Article# 2, pp. 1-34

Document type: Journal Article
Sub-type: Article (original research)
Collections: Official 2011 Collection
School of Economics Publications
 
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Created: Sun, 17 Jan 2010, 10:00:28 EST