Time series evidence on the linkage between the volatility and growth of output
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.
Volume (Year): 15 (2007)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAEL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAEL20|
When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:15:y:2007:i:1:p:45-48. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.