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The impact of volatility on growth in China

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  • James Laurenceson

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  • Danielle Rodgers

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File URL: http://hdl.handle.net/10.1007/s11459-010-0111-3
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Bibliographic Info

Article provided by Springer in its journal Frontiers of Economics in China.

Volume (Year): 5 (2010)
Issue (Month): 4 (December)
Pages: 527-536

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Handle: RePEc:spr:frecch:v:5:y:2010:i:4:p:527-536

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Web page: http://www.springer.com/economics/journal/11459

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Related research

Keywords: China; volatility; output growth; GARCH-M; E32; O40;

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References

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  1. Mirman, Leonard J, 1971. "Uncertainty and Optimal Consumption Decisions," Econometrica, Econometric Society, vol. 39(1), pages 179-85, January.
  2. Gulasekaran Rajaguru & Tilak Abeysinghe, 2004. "Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
  3. WenSho Fang & Stephen M. Miller, 2007. "The Great Moderation and the Relationship between Output Growth and Its Volatility," Working papers 2007-04, University of Connecticut, Department of Economics.
  4. Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
  5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  6. Caporale, Tony & McKiernan, Barbara, 1996. "The Relationship between Output Variability and Growth: Evidence from Post War UK Data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 43(2), pages 229-36, May.
  7. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
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