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Nonlinear impacts of international business cycles on the UK : a bayesian smooth transition var approach.

Gefang, Deborah and Strachan, Rodney (2010) Nonlinear impacts of international business cycles on the UK : a bayesian smooth transition var approach. Studies in Nonlinear Dynamics and Econometrics, 14 (1). p. 2. ISSN 1558-3708

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Abstract

Employing a Bayesian approach, we investigate the impact of international business cycles on the U.K. economy in the context of a smooth transition VAR. We find that the British business cycle is asymmetrically influenced by growth in the U.S., France and Germany. Overall, positive and negative shocks generating in the U.S. or France affect the U.K. in the same directions as the shock. However, a shock emanating from Germany, whether positive or negative, always exerts negative cumulative effects on the U.K. Further, a positive shock arising from Germany adversely affects the U.K. output growth more than a negative shock of the same size.

Item Type: Article
Journal or Publication Title: Studies in Nonlinear Dynamics and Econometrics
Subjects: H Social Sciences > HB Economic Theory
Departments: Lancaster University Management School > Economics
ID Code: 39665
Deposited By: Deborah Gefang
Deposited On: 02 Feb 2011 15:28
Refereed?: Yes
Published?: Published
Last Modified: 09 Apr 2014 22:03
Identification Number:
URI: http://eprints.lancs.ac.uk/id/eprint/39665

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