The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries
AbstractThis article tests the Black’s hypothesis in five crisis-affected Asian countries(India, Japan, Malaysia, South Korea, and Thailand). The hypothesis posits that economies face a positive relationship between output growth and output volatility. Using monthly data of the industrial production indices in the five economies and applying the ARCH/GARCH models to generate a measure of output volatility to conduct the two-step approach, the results show that output volatility positively Granger causes output growth in two economies, Japan, and South Korea. The results indicate that countries with specialized technology are compensated for associated risk. In addition, the impact of the 1997 Asian financial crisis is minimal such that it will not alter the volatility and growth relationship.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 46068.
Date of creation: 2011
Date of revision:
Output volatility; output growth; ARCH/GARCH model; causality;
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 &bull Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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