Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/339519 
Year of Publication: 
2025
Series/Report no.: 
Working Paper No. 995
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271-2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks as innovations explaining the largest share of future output variance. Before 1900, these shocks display a stagflationary, supply-driven pattern, while post-1900 shocks become demand-driven, raising both output and inflation. Output volatility declines over time, peaking in the seventeenth century. Monetisation had large real effects in the sixteenth and seventeenth centuries, shifting to more inflationary impacts thereafter. Our results highlight how business cycle dynamics evolve with institutional, monetary, and structural transformations.
Subjects: 
Long-run data
Business Cycle shock
time-varying VAR
JEL: 
C32
E32
E43
Document Type: 
Working Paper

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