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Does growth affect volatility? An empirical study on developing countries

Listed author(s):
  • Masahiro Kodama
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    Whereas economic growth and business cycles have received significant attention in the literature, they are typically examined separately. However, recent studies have found a causality in which short-term output volatility affects economic growth (volatility-growth causality). In contrast, in this study, we examine whether the opposite causality, from economic growth to short-term output volatility (growth-volatility causality), exists. The existence of volatility-growth causality does not necessarily exclude the existence of growth-volatility causality, and the two causalities may coexist. We empirically examine growth-volatility causality, and the results of our econometric analyses confirm its existence.

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    Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

    Volume (Year): 21 (2014)
    Issue (Month): 4 (March)
    Pages: 257-260

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    Handle: RePEc:taf:apeclt:v:21:y:2014:i:4:p:257-260
    DOI: 10.1080/13504851.2013.854291
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