Estimating the impact of the volatility of shocks: a structural VAR approach
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- Millard, Stephen & Shakir, Tamarah, 2013. "Oil shocks and the UK economy: the changing nature of shocks and impact over time," Bank of England working papers 476, Bank of England.
More about this item
KeywordsVector autoregression; stochastic volatility; particle filter.;
- E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-07 (All new papers)
- NEP-CBA-2011-11-07 (Central Banking)
- NEP-ECM-2011-11-07 (Econometrics)
- NEP-FOR-2011-11-07 (Forecasting)
- NEP-MAC-2011-11-07 (Macroeconomics)
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