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Time series evidence on the linkage between the volatility and growth of output

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Author Info
Paul Beaumont
Stefan Norrbin
F. Pinar Yigit

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Abstract

Prior 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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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850600607446&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 15 (2008)
Issue (Month): 1 ()
Pages: 45-48
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Handle: RePEc:taf:apeclt:v:15:y:2008:i:1:p:45-48

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