The Fischer Black Hypothesis: Some Time‐Series Evidence

Tony Caporale and Barbara McKiernan

Southern Economic Journal, 1998, vol. 64, issue 3, 765-771

Abstract: We estimate an ARCH‐M model to analyze the relationship between the conditional standard deviation of real gross national product (GNP) and its growth rate for the period 1871‐1993. We find that variability significantly increases output growth rates. In addition, impulse response functions show that the effect of variability on growth rates is dynamic. These results provide evidence in favor of Black's (1987) business cycle hypothesis.

Date: 1998
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https://doi.org/10.1002/j.2325-8012.1998.tb00093.x

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Persistent link: https://EconPapers.repec.org/RePEc:wly:soecon:v:64:y:1998:i:3:p:765-771

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