Chapter

Impulse response and trend/cycle properties of the UK model

Anthony Garratt, Kevin Lee, M. Hashem Pesaran and Yongcheol Shin

in Global and National Macroeconometric Modelling

Published in print August 2006 | ISBN: 9780199296859
Published online September 2006 | e-ISBN: 9780191603853 | DOI: http://dx.doi.org/10.1093/0199296855.003.0010
 Impulse response and trend/cycle properties of the UK model

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This chapter discusses the dynamic properties of the estimated UK model. It presents generalized and orthogonalized impulse response analyses of the effects of shocks to the UK economy, and considers in detail the dynamic effect of identified monetary policy shocks. It also presents a decomposition of the variables in the UK model into trends and cycles.

Keywords: orthogonalized impulse response; generalized impulse response; trends; cycles; monetary policy shocks

Chapter.  12022 words.  Illustrated.

Subjects: Econometrics and Mathematical Economics

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