Working Paper
Aggregate price shocks and financial stability: the United Kingdom 1796-1999
Abstract: This paper investigates the impact historically of aggregate price shocks on financial stability in the United Kingdom. We construct an annual index of U.K. financial conditions for 1790-1999 and use a dynamic probit model to estimate the effect of aggregate price shocks on the index. We find that price level shocks contributed significantly to financial instability during 1820-1931, and that inflation rate shocks contributed to instability during 1972-99. Both the nature of aggregate price shocks and their impact depend on the existing monetary and financial regime, but price shocks historically have been a source of financial instability.>
https://doi.org/10.20955/wp.2001.018
Status: Published in Explorations in Economic History, April 2003, 40(2), pp. 143-69
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Bibliographic Information
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2001
Number: 2001-018