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A Structural Vector Autoregression Model of the UK Business Cycle

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  • Turner, Paul Michael

Abstract

This paper presents a model of the U.K. business cycle using quarterly data from 1955q1 to 1989q1. The methodology adopted is that of the structural vector autoregression, which combines unrestricted dynamics with restrictions on the contemporaneous interactions of variables derived from economic theory. Variance decompositions indicate that supply side disturbances have little role in explaining fluctuations in real output but unemployment is found to be sensitive to wage, price, and monetary disturbances. Monetary shocks produce dynamic effects similar to those described by economic theory but explain only a small part of the observed fluctuations in real magnitudes. Copyright 1993 by Scottish Economic Society.

Suggested Citation

  • Turner, Paul Michael, 1993. "A Structural Vector Autoregression Model of the UK Business Cycle," Scottish Journal of Political Economy, Scottish Economic Society, vol. 40(2), pages 143-164, May.
    • Handle: RePEc:bla:scotjp:v:40:y:1993:i:2:p:143-64
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    Cited by:

    1. Pham The Anh, 2007. "Nominal Rigidities and The Real Effects of Monetary Policy in a Structural VAR Model," Working Papers 06, Development and Policies Research Center (DEPOCEN), Vietnam.
    2. Calvert Jump, Robert & Kohler, Karsten, 2022. "A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016," Explorations in Economic History, Elsevier, vol. 85(C).
    3. ODUSOLA, Ayodele & AKINLO, Anthony, 2001. "Output, Inflation, And Exchange Rate In Developing Countries: An Application To Nigeria," UNDP Africa Economists Working Papers 307343, United Nations Development Programme (UNDP).
    4. Cover, James P. & Mallick, Sushanta K., 2012. "Identifying sources of macroeconomic and exchange rate fluctuations in the UK," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1627-1648.
    5. Peter Summers, 2000. "Labour Market Analysis with VAR Models," Melbourne Institute Working Paper Series wp2000n19, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    6. Funke, Michael, 1997. "How important are demand and supply shocks in explaining German business cycles?: New evidence on an old debate," Economic Modelling, Elsevier, vol. 14(1), pages 11-37, January.
    7. Narayan, Paresh Kumar, 2008. "Understanding the importance of permanent and transitory shocks at business cycle horizons for the UK," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(12), pages 2879-2888.
    8. A. E. Akinlo & A. F. Odusola, 2003. "Assessing the impact of Nigeria's naira depreciation on output and inflation," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 691-703.
    9. Ballabriga, Fernando & Sebastian, Miguel & Valles, Javier, 1999. "European asymmetries," Journal of International Economics, Elsevier, vol. 48(2), pages 233-253, August.

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