Skip to main content
Article thumbnail
Location of Repository

Nonlinear impacts of international business cycles on the UK - A Bayesian smooth transition VAR approach

By Deborah Gefang and Rodney Strachan


Employing a Bayesian approach, we investigate the impact of international\ud business cycles on the UK economy in the context of a smooth\ud transition VAR. We find that British business cycle is asymmetrically\ud influenced by the US, France and Germany. Overall, positive and negative\ud shocks generating in the US or France affect the UK in the same\ud directions of the shock. Yet, a shock emanating from Germany always\ud exerts negative accumulative effects on the UK. More strikingly, a positive\ud shock arising from Germany negatively affects UK output growth\ud more than a negative shock from Germany of the same size. These results\ud suggest that the appropriate UK economic policy depends upon\ud the origin, size and direction of the external shocks

Topics: International business cycle, Bayesian, smooth transition vector autoregression model
Publisher: Dept. of Economics, University of Leicester
Year: 2008
OAI identifier:

Suggested articles


  1. (1971). An Introduction to Bayesian Inference in Econometrics, doi
  2. (1999). Applied econometrics using MATLAB.
  3. (2002). Asymmetric Interest Rate Effects for the UK Real Economy, doi
  4. (1999). Bayesian Analysis of Nonlinear Time Series Models with a Threshold, In: Nonlinear Econometric Modelling,
  5. (2000). Business cycles under monetary union: doi
  6. (1992). Facilitating the Gibbs Sampler: The Gibbs Stopper and the Griddy-Gibbs Sampler, doi
  7. (2004). Forecasting in Dynamic Factor Models Using Bayesian Model Averaging, doi
  8. (2005). How will do Markov switching models describe actual business cycles? The case of synchronization, doi
  9. (1972). Money, Income and Causality, doi
  10. (2003). Noninformative Priors and Frequentist Risks of Bayesian Estimators of Vector-Autoregressive Models, doi
  11. Potter (1999b), Dynamic Asymmetries in US Unemployment, doi
  12. (1999). Smooth Transition GARCH Models: A Bayesian Perspective.
  13. (1978). Specification Searches, doi
  14. (1999). The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach, doi
  15. (1996). The role of International Factors in the Business Cycle: A Multi-country Study doi
  16. (2000). The Vector Floor and Ceiling Model, Working Paper No 04/15,
  17. (1983). Threshold Models in Non-linear Time Series Analysis, doi
  18. van Dijk (2004), Exceptions to Bartletts Paradox,

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.