UK Output Variability and Growth: Some Further Evidence
This paper reexamines the empirical evidence concerning the relationship between U.K. output variability and growth using GARCH-M models applied to postwar monthly industrial production data, estimated under quasimaximum-likelihood with the consistent variance-covariance estimator of T. Bollerslev and J. M. Wooldridge (1992). In contrast to previous results suggesting a significant positive relationship between U.K. output variability and growth, the author finds no significant relationship. Rather than suggesting a connection between risk and return in the attitudes of investors, his findings may be interpreted as more supportive of macroeconomic models that dichotomize the determination of output growth and variability. Copyright 1999 by Scottish Economic Society.
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Volume (Year): 46 (1999)
Issue (Month): 2 (May)
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