scholarly journals Dynamic interdependencies among the housing market, stock market, policy uncertainty and the macroeconomy in the United Kingdom

2016 ◽  
Vol 44 ◽  
pp. 111-122 ◽  
Author(s):  
Nikolaos Antonakakis ◽  
Christos Floros
Keyword(s):  
United Kingdom ◽  
Stock Market ◽  
Housing Market ◽  
Policy Uncertainty ◽  
Market Policy ◽  
The United Kingdom

Recession and Recovery in the United Kingdom in the 1990s: Identifying the Shocks

1996 ◽  
Vol 157 ◽  
pp. 97-106 ◽  
Author(s):  
Luis Catão ◽  
Ramana Ramaswamy
Keyword(s):  
United Kingdom ◽  
Housing Market ◽  
Vector Autoregression ◽  
Relative Magnitude ◽  
Var Model ◽  
Monetary Shocks ◽  
Demand Shocks ◽  
The United Kingdom ◽  
The Uk

This article uses a vector autoregression (VAR) approach to identify the causes of the 1990-92 recession in the UK. The VAR approach is shown to be particularly pertinent for quantifying the relative magnitude of the different demand shocks, and in decomposing them into monetary and expectational factors. The main finding is that the recent recession was precipitated primarily by shocks to consumption, and that the prior monetary tightening and the subsequent collapse in the housing market explain just part of this contraction. Non-monetary shocks also appear to have played an important role in bringing about the recession. The VAR model also offers interesting insights on the nature of the recovery that is currently under way.

scholarly journals The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom: evidence from over 150 years of data

2019 ◽  
Vol 8 (3) ◽  
pp. 138 ◽  
Author(s):  
Rangan Gupta ◽  
Mark Wohar
Keyword(s):  
Monetary Policy ◽  
United Kingdom ◽  
Equity Market ◽  
Market Volatility ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
The United Kingdom ◽  
Out Of Sample ◽  
Key Factor ◽  
Risk Free Rate

Theory suggests a strong link between monetary policy rate uncertainty and equity return volatility, since asset pricing models assume the risk-free rate to be a key factor for equity prices. Given this, our paper uses historical monthly data for the United Kingdom over 1833:01 to 2018:07, to show that monetary policy uncertainty increases stock market volatility within sample. In addition, we show that the information on monetary policy uncertainty also adds value to forecasting out-of-sample equity market volatility. 

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