Time-varying causality between equity and currency returns in the United Kingdom: Evidence from over two centuries of data

We examine whether the importance of lagged inflation in the New Keynesian Phillips Curve (NKPC) may be a result of specification biases. NKPCs are estimated for four countries: France, Germany, Italy, and the United Kingdom. Using time-varying coefficient (TVC) estimation, a procedure that can deal with possible specification biases, we find support for the NKPC model that excludes lagged inflation. Our results indicate a Phillips-curve relationship for the countries considered that does not contain an inertial element.

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Time-Varying impact of uncertainty shocks on macroeconomic variables of the united kingdom: Evidence from over 150 years of monthly data

Finance Research Letters ◽

10.1016/j.frl.2019.101363 ◽

2020 ◽

Vol 37 ◽

pp. 101363 ◽

Cited By ~ 1

Author(s):

Christina Christou ◽

David Gabauer ◽

Rangan Gupta

Keyword(s):

United Kingdom ◽

Time Varying ◽

Monthly Data ◽

Macroeconomic Variables ◽

Uncertainty Shocks ◽

The United Kingdom

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Time-varying causal relationship between stock market and unemployment in the United Kingdom: Historical evidence from 1855 to 2017

Journal of Multinational Financial Management ◽

10.1016/j.mulfin.2019.02.003 ◽

2019 ◽

Vol 49 ◽

pp. 81-88

Author(s):

Xolani Sibande ◽

Rangan Gupta ◽

Mark E. Wohar

Keyword(s):

United Kingdom ◽

Stock Market ◽

Causal Relationship ◽

Time Varying ◽

Historical Evidence ◽

The United Kingdom

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HOW DOES MONETARY POLICY CHANGE? EVIDENCE ON INFLATION-TARGETING COUNTRIES

Macroeconomic Dynamics ◽

10.1017/s1365100512000545 ◽

2013 ◽

Vol 18 (3) ◽

pp. 593-630 ◽

Cited By ~ 17

Author(s):

Jaromír Baxa ◽

Roman Horváth ◽

Bořek Vašíček

Keyword(s):

Monetary Policy ◽

United Kingdom ◽

Interest Rates ◽

Inflation Targeting ◽

Inflation Expectations ◽

Time Varying ◽

Policy Rules ◽

Monetary Policy Rules ◽

The United Kingdom ◽

Endogenous Regressors

We examine the evolution of monetary policy rules in a group of inflation-targeting countries (Australia, Canada, New Zealand, Sweden, and the United Kingdom), applying a moment-based estimator in a time-varying parameter model with endogenous regressors. From this novel flexible framework, our main findings are threefold. First, monetary policy rules change gradually, pointing to the importance of applying a time-varying estimation framework. Second, the interest-rate smoothing parameter is much lower than typically reported by previous time-invariant estimates of policy rules. External factors matter for all countries, although the importance of the exchange rate diminishes after the adoption of inflation targeting. Third, the response of interest rates to inflation is particularly strong during periods when central bankers want to break a record of high inflation, such as in the United Kingdom or Australia at the beginning of the 1980s. Contrary to common perceptions, the response becomes less aggressive after the adoption of inflation targeting, suggesting a positive anchoring effect of this regime on inflation expectations. This result is supported by our finding that inflation persistence typically decreased after the adoption of inflation targeting.

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