A SVECM Model of the UK Economy and The Term Premium
The term premium is estimated from an empirically coherent open economy VAR model of the UK economy where the model speci?cally accounts for the mixed nature of the data and cointegration between some variables. Using this framework the estimated negative term premia for 1980-2007 is decomposed into its contributing shocks, where the role of in?ation and monetary policy shocks are shown to be dominant in the evolution of the term premium. Projecting into the 2008 crisis period reveals the extent of the shocks to the UK economy, and also shows the similarities in term premia behaviour with those experienced during the 1998 Russian crisis.
|Date of creation:||May 2011|
|Publication status:||Published by University of Tasmania, School of Economics & Finance -Thesis 2006|
|Contact details of provider:|| Postal: Private Bag 85, Hobart, Tasmania 7001|
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Web page: http://www.utas.edu.au/business-and-economics
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