GDP Growth and the Interdependency of Volatility Spillovers
This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) model. According to the results from the mean growth equations, we identified significant cross-country GDP growth spillover among these countries. Furthermore, the growth volatility between the US and Canada indicates the highest conditional correlation. As expected, we also found that the shock influences are mainly exerted by the larger economies onto the smaller economies.
|Date of creation:||2012|
|Date of revision:|
|Publication status:||Published in Australasian Accounting Business and Finance Journal 1.6(0212): pp. 83-96|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Pain, Nigel, 1997.
"Continental Drift: European Integration and the Location of U.K. Foreign Direct Investment,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 65(0), pages 94-117, Supplemen.
- Nigel Pain, 1996. "Continental Drift: European Integration and the Location of UK Foreign Direct Investment," NIESR Discussion Papers 107, National Institute of Economic and Social Research.
- Denise Osborn & Pedro Perez & Michael Artis, 2004.
"The International Business Cycle In A Changing World: Volatility And The Propagation Of Shocks,"
Royal Economic Society Annual Conference 2004
138, Royal Economic Society.
- Pedro PEREZ-VAZQUEZ & Denise OSBORN & Michael ARTIS, . "The International Business Cycle in a Changing World:Volatility and the Propagation of Shocks," EcoMod2004 330600111, EcoMod.
- P J Perez & D R Osborn & M Artis, 2003. "The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks," Centre for Growth and Business Cycle Research Discussion Paper Series 37, Economics, The Univeristy of Manchester.
- Massimiliano Caporin & Michael McAleer, 2009.
"A Scientific Classification of Volatility Models,"
Documentos de Trabajo del ICAE
0905, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- repec:sae:niesru:v:188:y::i:1:p:100-107 is not listed on IDEAS
- Bollerslev, Tim & Engle, Robert F & Wooldridge, Jeffrey M, 1988. "A Capital Asset Pricing Model with Time-Varying Covariances," Journal of Political Economy, University of Chicago Press, vol. 96(1), pages 116-31, February.
- Olivier Blanchard & John Simon, 2001. "The Long and Large Decline in U.S. Output Volatility," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 135-174.
- Artis, Michael J & Kontolemis, Zenon G & Osborn, Denise R, 1997. "Business Cycles for G7 and European Countries," The Journal of Business, University of Chicago Press, vol. 70(2), pages 249-79, April.
- Francis X. Diebold & Kamil Yilmaz, 2008.
"Macroeconomic Volatility and Stock Market Volatility, World-Wide,"
PIER Working Paper Archive
08-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2008. "Macroeconomic Volatility and Stock Market Volatility, Worldwide," NBER Working Papers 14269, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Kamil Yılmaz, 2007. "Macroeconomic Volatility and Stock Market Volatility,World-Wide," Koç University-TUSIAD Economic Research Forum Working Papers 0711, Koc University-TUSIAD Economic Research Forum.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, .
"Multivariate GARCH models: a survey,"
CORE Discussion Papers RP
1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
- M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
- Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 777-784.
- Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
- James H. Stock & Mark W. Watson, 2005.
"Understanding Changes In International Business Cycle Dynamics,"
Journal of the European Economic Association,
MIT Press, vol. 3(5), pages 968-1006, 09.
- James H. Stock & Mark W. Watson, 2003. "Understanding Changes in International Business Cycle Dynamics," NBER Working Papers 9859, National Bureau of Economic Research, Inc.
- Theodossiou, Panayiotis, et al, 1997. "Volatility Reversion and Correlation Structure of Returns in Major International Stock Markets," The Financial Review, Eastern Finance Association, vol. 32(2), pages 205-24, May.
- Boone, Laurence & Hall, Stephen G, 1999. "Stylized Facts of the Business Cycle Revisited: A Structural Modelling Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(3), pages 253-68, July.
- Ray Barrell & Sylvia Gottschalk, 2004. "The Volatility Of The Output Gap In The G7," Royal Economic Society Annual Conference 2004 136, Royal Economic Society.
- Glenn Otto & Graham Voss & Luke Willard, 2001. "Understanding OECD Output Correlations," RBA Research Discussion Papers rdp2001-05, Reserve Bank of Australia.
- Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:50398. 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: (Joachim Winter)
If references are entirely missing, you can add them using this form.