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The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries

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  • Jiranyakul, Komain

Abstract

This 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.

Suggested Citation

  • 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.
    • Handle: RePEc:pra:mprapa:46068
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    Cited by:

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    2. Kushal Banik Chowdhury & Nityananda Sarkar, 2019. "Regime Dependent Effect Of Output Growth On Output Growth Uncertainty: Evidence From Oecd Countries," Bulletin of Economic Research, Wiley Blackwell, vol. 71(3), pages 257-282, July.
    3. Ramphul Ohlan, 2014. "Growth and instability in dairy production and trade: a global analysis," International Journal of Trade and Global Markets, Inderscience Enterprises Ltd, vol. 7(2), pages 145-172.

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    More about this item

    Keywords

    Output volatility; output growth; ARCH/GARCH model; causality;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; 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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