A re-examination of growth and growth uncertainty relationship in a stochastic volatility in mean model with time-varying parameters

Mehmet Balcilar and Zeynel Ozdemir ()

No 15-32, Working Papers from Eastern Mediterranean University, Department of Economics

Abstract: By means of stochastic volatility in mean model to allow for time-varying parameters in the conditional mean and monthly data for G-7 countries, we examine the variability of the business cycle and the economic growth. The results show that the impact of output uncertainty on growth is substantially time-varying and positive with frequent breaks, except for Italy. Besides, the effect of growth on uncertainty is insignificant except for UK.

Keywords: Output Growth; Output Growth Uncertainty; Nonlinearity; State–space. (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2017
New Economics Papers: this item is included in nep-mac and nep-ore
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http://repec.economics.emu.edu.tr/RePEc/emu/wpaper/15-32.pdf First version, 2017 (application/pdf)

Related works:
Journal Article: A re-examination of growth and growth uncertainty relationship in a stochastic volatility in the mean model with time-varying parameters (2020)
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