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Recession and Recovery in the United Kingdom in the 1990'+L927s A Vector Autoregression Approach

This paper uses a vector autoregression (VAR) approach to identify the causes of the 1990-92 recession in the UK. The VAR approach is shown to be particularly pertinent for quantifying the relative magnitude of the different demand shocks, and in decomposing them into monetary and expectational fact...

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Bibliographic Details
Main Author: Catão, Luis
Other Authors: Ramaswamy, Ramana
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 1995
Series:IMF Working Papers
Subjects:
Interest Rates
Wealth
Economics
Finance
Econometric Analysis
Dynamic Treatment Effect Models
Saving
Financial Services
Real Interest Rates
Government Consumption
Currency
Diffusion Processes
National Accounts
Vector Autoregression
Time-series Models
Foreign Exchange
Cycles
Banks And Banking
Consumption
Macroeconomics
Macroeconomics: Consumption
Business Fluctuations
Real Exchange Rates
Interest Rates: Determination, Term Structure, And Effects
Econometrics
Dynamic Quantile Regressions
Econometrics & Economic Statistics
State Space Models
United Kingdom
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:This paper uses a vector autoregression (VAR) approach to identify the causes of the 1990-92 recession in the UK. The VAR approach is shown to be particularly pertinent for quantifying the relative magnitude of the different demand shocks, and in decomposing them into monetary and expectational factors. The main finding is that the recent recession was precipitated primarily by shocks to consumption, and that monetary factors explain just part of this contraction. The VAR model also offers interesting insights about the long duration of the recession and the nature of the recovery that is currently underway
Physical Description:28 pages
ISBN:9781451845914

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