Time series evidence on the linkage between the volatility and growth of output
AbstractPrior research on the relationship between volatility and growth has produced mixed results. However, the times series research has only been done for a few countries, namely the United States, United Kingdom and Japan. We extend the prior research by performing a systematic search over several GARCH in mean model specifications, including nonGaussian and asymmetric GARCH models, for 20 OECD countries. The results indicate very little evidence of any connection between volatility and growth.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Economics Letters.
Volume (Year): 15 (2007)
Issue (Month): 1 ()
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Web page: http://www.tandf.co.uk/journals/routledge/13504851.html
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- Jiranyakul, Komain, 2011. "The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries," MPRA Paper 46068, University Library of Munich, Germany.
- Christoph Priesmeier & Nikolai Stähler, 2011. "Long Dark Shadows Or Innovative Spirits? The Effects Of (Smoothing) Business Cycles On Economic Growth: A Survey Of The Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 25(5), pages 898-912, December.
- Olaf Posch & Klaus Wälde, 2011. "On the link between volatility and growth," Journal of Economic Growth, Springer, vol. 16(4), pages 285-308, December.
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