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A Millennium of UK Business Cycles: Insights from Structural VAR Analysis

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  • Leonardo N. Ferreira
  • Haroon Mumtaz
  • Gabor Pinter

Abstract

We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271--2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks as innovations explaining the largest share of future output variance. Before 1900, these shocks display a stagflationary, supply-driven pattern, while post-1900 shocks become demand-driven, raising both output and inflation. Output volatility declines over time, peaking in the seventeenth century. Monetisation had large real effects in the sixteenth and seventeenth centuries, shifting to more inflationary impacts thereafter. Our results highlight how business cycle dynamics evolve with institutional, monetary, and structural transformations.

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  • Leonardo N. Ferreira & Haroon Mumtaz & Gabor Pinter, 2025. "A Millennium of UK Business Cycles: Insights from Structural VAR Analysis," Papers 2511.15643, arXiv.org.
    • Handle: RePEc:arx:papers:2511.15643
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    References listed on IDEAS

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    1. Matthew D. Shapiro & Mark W. Watson, 1988. "Sources of Business Cycle Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156, National Bureau of Economic Research, Inc.
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