Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States

Mallika Saha, Kumar Debasis Dutta and MD. Shafiqul Islam

MPRA Paper from University Library of Munich, Germany

Abstract: Economic volatility refers to the dispersion of an economic variable, especially the output growth, from its expected value, which has an immense impact on the livelihoods of many people and thus, regarded as one of the most important research topics of economic discourse. Gross domestic product (GDP) and international trade are two key indicators of a nation’s economy that measure total economic activity and activities across borders, respectively. Hence to explain the economic volatility, this study aims to investigate its nature in terms of GDP and international trade of the two largest economy of world, China and the United States, from 1993 to 2018 using different ARCH-type models (GARCH, EGARCH and TGARCH). According to the fndings, the TGARCH and EGARCH exhibit the best statistical ft and the asymmetric parameters of the models are signifcant for almost all the variables. Therefore, this study establishes that economic volatility in terms of real GDP growth and international trade (export and import) is asymmetric.

Keywords: Economic volatility; China; USA; GARCH; EGARCH; TGARCH (search for similar items in EconPapers)
JEL-codes: E32 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Indian Journal of Economics & Business 1.20(2021): pp. 39-50

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/111482/1/MPRA_paper_111482.pdf original version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:111482

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().