Leaning into the Wind: A Structural VAR Investigation of UK Monetary Policy

Identifying sources of macroeconomic and exchange rate fluctuations in the UK

“…The monetary policy shock identified by this paper plays only a small role in explaining the total variation of unemployment, output and inflation in the UK. This result is consistent with what Mountford (2005) finds from employing an identification strategy based on Uhlig's (2005) sign-restriction methodology. 7 The paper is organized as follows.…”

The influences of international output shocks from the US and China on ASEAN economies

“…An alternative approach is provided by Structural Vector Autoregression (SVAR) models, which combine empirical coherence with restrictions imposed by a broad theoretical framework and have been applied to a number of small open economies; see for example, Pagan (2000, 2009), Buckle, Kim, Kirkham, McLellan, and Sharma (2007), Mountford (2005), Kim and Roubini (2000) and Cushman and Zha (1997) 1 . In addition to the different datasets used, a distinctive characteristic of these studies is the way in which they identify the structural shocks from the system.…”

Monetary Policy and the Economy in South Africa

“…The measurement and identification of various shocks that give rise to macroeconomic fluctuations remain a central concern to macroeconomics studies and remain an unresolved dispute (Mountford 2005). We define the shocks using a sign-restriction approach based on weaker prior beliefs as to how monetary policy affects the economy.…”

“…We define the shocks using a sign-restriction approach based on weaker prior beliefs as to how monetary policy affects the economy. Mountford (2005) further argues that research on monetary policy shocks tends to assume that the reaction of certain variables to monetary policy shocks is either contemporaneously zero, or zero in the long run. The problem of imposing restrictions on the long-run effects of monetary policy effects is that economic theory is not definitive regarding this issue.…”

“…Moreover, Uhlig (2005) concluded that contractionary monetary policy shocks had no clear effects on real GDP in the USA. Mountford (2005) found that unanticipated contractionary monetary policy has real effects in the UK.…”