Cyclical patterns in the variance of economic activity
This paper models the conditional mean and variance of real GNP and its components using asymmetric exponential generali zed autoregressive conditional heteroskedasticity, a model previously applied only to financial variables. The results im ply that the variance of real GNP is higher following negative innovatio ns than positive innovations and that this asymmetry arises in the cyclically sensitive sectors. Further evidence links this asymmetry to the phase of the business cycle: the conditional variance appears to be largest around business cycle troughs. The evidence of asymmetry in conditional variance is robust to alternative models of output growt h, including split-trend and threshold specifications.
(This abstract was borrowed from another version of this item.)
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1991|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.federalreserve.gov/
More information through EDIRC
|Order Information:||Web: http://www.federalreserve.gov/pubs/feds/fedsorder.html|
When requesting a correction, please mention this item's handle: RePEc:fip:fedgfe:161. 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: (Kris Vajs)
If references are entirely missing, you can add them using this form.