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Global and National Macroeconometric ModellingA Long-Run Structural Approach$
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Anthony Garratt, Kevin Lee, M. Hashem Pesaran, and Yongcheol Shin

Print publication date: 2006

Print ISBN-13: 9780199296859

Published to Oxford Scholarship Online: September 2006

DOI: 10.1093/0199296855.001.0001

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Impulse response and trend/cycle properties of the UK model

Impulse response and trend/cycle properties of the UK model

Chapter:
(p.225) 10 Impulse response and trend/cycle properties of the UK model
Source:
Global and National Macroeconometric Modelling
Author(s):

Anthony Garratt (Contributor Webpage)

Kevin Lee (Contributor Webpage)

M. Hashem Pesaran (Contributor Webpage)

Yongcheol Shin (Contributor Webpage)

Publisher:
Oxford University Press
DOI:10.1093/0199296855.003.0010

This chapter discusses the dynamic properties of the estimated UK model. It presents generalized and orthogonalized impulse response analyses of the effects of shocks to the UK economy, and considers in detail the dynamic effect of identified monetary policy shocks. It also presents a decomposition of the variables in the UK model into trends and cycles.

Keywords:   orthogonalized impulse response, generalized impulse response, trends, cycles, monetary policy shocks

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