BVW_October23_paperonly.pdf (429.91 kB)
Download file

Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014

Download (429.91 kB)
journal contribution
posted on 01.07.2019, 13:36 authored by Erdenebat Bataa, Andrew VivianAndrew Vivian, Mark Wohar
This paper examines the dynamic relationship between interest rates, inflation and economic growth using a long dataset for the UK. The approach adopted enables us to identify structural breaks in the dynamic system (vector autoregression (VAR)). We find interest rates respond much more strongly to growth and inflation over recent decades, and forecast error variance decomposition analysis indicates there is increasing interconnectedness between the variables in recent years. Economic policymakers need to carefully monitor the linkages between these variables and be prepared to adjust their monetary policy tools when faced with structural changes.

History

School

  • Business and Economics

Department

  • Business

Published in

Bulletin of Economic Research

Volume

71

Issue

4

Pages

Pages 616-640

Citation

BATAA, E., VIVIAN, A.J. and WOHAR, M.E., 2019. Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014. Bulletin of Economic Research, 71(4), pp. Pages 616-640.

Publisher

© Board of Trustees of the Bulletin of Economic Research and John Wiley & Son

Version

AM (Accepted Manuscript)

Publisher statement

This is the peer reviewed version of the following article: BATAA, E., VIVIAN, A.J. and WOHAR, M.E., 2019. Changes in the relationship between short‐term interest rate, inflation and growth: evidence from the UK, 1820–2014. Bulletin of Economic Research, 71(4), pp. Pages 616-640, which has been published in final form at https://doi.org/10.1111/boer.12199. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions

Acceptance date

21/03/2019

Publication date

2019-05-10

ISSN

0307-3378

eISSN

1467-8586

Language

en

Usage metrics

Keywords

Exports