A dynamic model of financial balances for the United Kingdom

Burgess, Stephen, Burrows, Oliver, Godin, Antoine, Kinsella, Stephen and Millard, Stephen (2016) A dynamic model of financial balances for the United Kingdom. (Working Paper) London, U.K. : Bank of England. 39 p. (Staff Working Paper, no. 614)

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Abstract

We construct a new scenario analysis model for the United Kingdom using ONS data from 1987 to the present. The model links decisions about real variables to credit creation in the financial sector and decisions about asset allocation among investors for a wide array of financial assets. We develop, estimate, and calibrate the model from first principles as well as describing the stock-flow coherent database we construct to validate the model. We impose several scenarios on the model to test its usefulness as a medium term scenario analysis tool, including increases in banks’ capital ratios, sudden stops, changes in investment, increases in house prices and fiscal expansions.

Item Type: Monograph (Working Paper)
Uncontrolled Keywords: sectoral balances, flow of funds, macroeconomic modelling
Research Area: Economics and econometrics
Faculty, School or Research Centre: Faculty of Arts and Social Sciences (until 2017) > School of Economics, History and Politics (from November 2012)
Depositing User: Antoine Godin
Date Deposited: 07 Oct 2016 13:10
Last Modified: 14 Oct 2016 10:17
URI: http://eprints.kingston.ac.uk/id/eprint/36107

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