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A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters

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  • Mehmet Balcilar

    (Department of Economics, Eastern Mediterranean University)

  • Zeynel Abidin Ozdemir

    (Gazi University, Ankara, Turkey)

Abstract

By means of stochastic volatility in mean model to allow for time-varying parameters in the conditional mean and monthly data for G-7 countries, we examine the variability of the business cycle and the economic growth. The results show that the impact of output uncertainty on growth is substantially time-varying and positive with frequent breaks, except for Italy. Besides, the effect of growth on uncertainty is insignificant except for UK.

Suggested Citation

  • Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-32, Eastern Mediterranean University, Department of Economics.
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    Keywords

    Output Growth; Output Growth Uncertainty; Nonlinearity; State–space.;
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    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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