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Abstract

We use a long series of annual data that span over 100 years to examine the relationship between output growth and its uncertainty in five European countries. Using the GARCH methodology to proxy uncertainty, we obtain two important results. First, more uncertainty about output leads to a higher rate of growth in three of the five countries. Second, output growth reduces its uncertainty in all countries except one. Our results are robust to alternative specifications and provide strong support to the recent emphasis by macroeconomists on the joint examination of economic growth and the variability of the business cycle.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/10168730802497478
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Bibliographic Info

Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 22 (2008)
Issue (Month): 4 ()
Pages: 445-459

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Handle: RePEc:taf:intecj:v:22:y:2008:i:4:p:445-459

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Related research

Keywords: output growth; output growth uncertainty; GARCH;

Other versions of this item:

Find related papers by JEL classification:

• C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
• E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

References

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Cited by:

1. Conrad, Christian & Karanasos, Menelaos & Zeng, Ning, 2010. "The link between macroeconomic performance and variability in the UK," Economics Letters, Elsevier, vol. 106(3), pages 154-157, March.

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