Time series evidence on the linkage between the volatility and growth of output

Paul Beaumont, Stefan Norrbin and F. Pinar Yigit
Authors registered in the RePEc Author Service: Fatma Pinar Erdem

Applied Economics Letters, 2007, vol. 15, issue 1, 45-48

Abstract: Prior research on the relationship between volatility and growth has produced mixed results. However, the times series research has only been done for a few countries, namely the United States, United Kingdom and Japan. We extend the prior research by performing a systematic search over several GARCH in mean model specifications, including nonGaussian and asymmetric GARCH models, for 20 OECD countries. The results indicate very little evidence of any connection between volatility and growth.

Date: 2007
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Citations: View citations in EconPapers (7)

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DOI: 10.1080/13504850600607446

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