Does Black’s Hypothesis for Output Variability Hold for Mexico?

Joseph Macri () and Dipendra Sinha

MPRA Paper from University Library of Munich, Germany

Abstract: Using two data series, namely GDP and the index of industrial production, we study the relationship between output variability and the growth rate of output. Ng-Perron unit root test shows that the growth rate of GDP is non-stationary but the growth rate of industrial output is stationary. Thus, we use the ARCH-M model for the monthly data of industrial output. A number of specifications (with and without a dummy variable) are used. In all cases, the results show that output variability has a negative but insignificant effect on the growth rate of output.

Keywords: economic growth; volatility; variability; business cycle fluctuations; GARCH models (search for similar items in EconPapers)
JEL-codes: C22 C51 C52 E32 (search for similar items in EconPapers)
Date: 2007-07
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:4021

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