A Long run structural macroeconometric model of the UK

Anthony Garratt · Kevin C. Lee · M. Hashem Pesaran · Yongcheol Shin

225 citations0/0 files storedThe Economic Journal

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Monetary Policy and Economic Impact Economic Theory and Policy Market Dynamics and Volatility

Abstract

A new modelling strategy that provides a practical approach to incorporating long‐run structural relationships, suggested by economic theory, in an otherwise unrestricted VAR model is applied to construct a small quarterly macroeconometric model of the UK, estimated over 1965q1–1999q4 in nine variables: domestic and foreign outputs, prices and interest rates, oil prices, the nominal effective exchange rate, and real money balances. The aim is to develop a model with a transparent and theoretically coherent foundation. Tests of restrictions on the long‐run relations of the model are presented. The dynamic properties of the model are discussed and monetary policy shocks identified.

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References

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