Relationship Between Output Volatility and Output in OECD Countries Revisited

Aykut Ekinci

Prague Economic Papers, 2022, vol. 2022, issue 6, 509-537

Abstract: This study revisits the empirical relationship between output volatility and output for twelve OECD countries. An extended AR-EGARCH-M model was used to identify the structural break, asymmetric effect, jump effect and spillover effect. In addition to the classical logarithmic definition of growth, the study uses the Hodrick-Prescott filter to compute the deviations from the long-term trend as the output gap. The empirical results show that (i) the effect of output volatility on output differs across countries under the same model specifications; and (ii) while the in-mean effect and spillover effect are stronger for the output gap-based models, the jump effect has a major effect on output volatility under the classical logarithmic definition.

Keywords: Output gap; volatility; business cycle; EGARCH; wavelet; asymmetric effect (search for similar items in EconPapers)
JEL-codes: C22 E32 O40 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.18267/j.pep.812

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