Money volatility and output volatility: any asymmetric effects?: Evidence from conditional measures of volatility
AbstractPurpose – To investigate whether monetary volatility in the US exerts any asymmetric impact on output volatility over the period 1974-2002. Design/methodology/approach – For the empirical purposes, the analysis makes use of the multi-variable GARCH (MVGARCH), which allows not only the presence of volatility clustering but also the presence of asymmetries in that volatility clustering. Findings – The empirical findings suggest that money supply volatility exerts a significant asymmetric influence on output volatility, i.e. the variance of output changes more due to positive changes than negative changes of money supply volatility. Originality/value – The paper investigates, for the first time, the presence of any asymmetric impact of the volatility of money on the volatility of output in the case of the US.
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Bibliographic InfoArticle provided by Emerald Group Publishing in its journal Journal of Economic Studies.
Volume (Year): 32 (2005)
Issue (Month): 5 (October)
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Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
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- Hatemi-J, Abdulnasser, 2013. "A New Asymmetric GARCH Model: Testing, Estimation and Application," MPRA Paper 45170, University Library of Munich, Germany.
- Christos Floros, 2010. "The impact of the Athens Olympic Games on the Athens Stock Exchange," Journal of Economic Studies, Emerald Group Publishing, vol. 37(6), pages 647-657, September.
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