Is volatility good for growth? Evidence from the G7

Elena Andreou, Alessandra Pelloni and Marianne Sensier ()

wp.comunite from Department of Communication, University of Teramo

Abstract: We provide empirical support for a DSGE model with nominal wage stickiness where growth is driven by learning-by-doing and money shocks and their variance are allowed to impact on long-run output growth. In our theoretical model the variance of monetary shocks has a negative effect on growth, while output volatility is good for growth as a positive relationship exists. Utilising a bivariate GARCH-M model we test the empirical conditional mean and variance relationships of nominal money and production growth rates in the G7 countries. We corroborate the theoretical model predictions with evidence from Bonferroni multiple tests across the G7.

JEL-codes: C32 E32 O42 (search for similar items in EconPapers)
Date: 2008-04
New Economics Papers: this item is included in nep-bec, nep-cba, nep-dge, nep-fdg and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Working Paper: Is Volatility Good for Growth? Evidence from the G7 (2013)
Working Paper: Is Volatility Good for Growth? Evidence from the G7 (2008)
Working Paper: Is Volatility Good for Growth? Evidence from the G7 (2008)
Working Paper: Is Volatility Good for Growth? Evidence from the G7 (2008)
Working Paper: Is Volatility Good for Growth? Evidence from the G7 (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:ter:wpaper:0041

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