Output Growth and its Volatility: The Gold Standard through the Great Moderation.
This study examines the relationship between U.S. output growth and its volatility over the period 1876:1 to 2012:11. We adjust the data for outliers and structural breaks. We employ generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) specifications. Norm...
| Publicado en: | Southern Economic Journal Vol. 80; no. 3; pp. 728 - 752 |
|---|---|
| Autores principales: | , |
| Formato: | Artículo |
| Publicado: |
Wiley-Blackwell
Jan2014
|
| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=94071639&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 94071639 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00384038 SEJ jtl: Southern Economic Journal issn: 00384038 maglogo: N pubinfo: dt: Jan2014 vid: 80 iid: 3 pid: 480 pub: Wiley-Blackwell artinfo: ui: 94071639 10.4284/0038-4038-2012.161 ppf: 728 ppct: 24 formats: fmt: – @attributes: type: T – @attributes: type: P size: 14.3MB tig: atl: Output Growth and its Volatility: The Gold Standard through the Great Moderation. aug: au: Fangand, WenShwo Miller, Stephen M. affil: Department of Economics, Feng Chia University, 100 WenHwa Road, Taichung, Taiwan Department of Economics, University of Nevada, Las Vegas, 4505 Maryland Parkway, Las Vegas, NV 89154-6005, USA su: United States GARCH model Financial markets Market volatility Gross national product sug: subj: United States Investment Banking and Securities Dealing Securities and Commodity Exchanges GARCH model Financial markets Market volatility Gross national product ab: This study examines the relationship between U.S. output growth and its volatility over the period 1876:1 to 2012:11. We adjust the data for outliers and structural breaks. We employ generalized autoregressive conditional heteroskedasticity (GARCH) and exponential GARCH (EGARCH) specifications. Normality and homoskedasticity appear only in the GARCH or EGARCH model that corrects for the outliers. When including the break in the mean equation, high volatility persistence remains. After also accommodating the breaks in the variance equation, the integrated GARCH effect proves spurious, either for the symmetric or the asymmetric model. Finally, our empirical results suggest that the finding of higher output growth volatility stimulating output growth and higher output growth reducing its volatility obtained from the symmetric GARCH-in-mean (GARCH-M) model also proves spurious as a result of the emergence of an asymmetric effect. Our more appropriately specified asymmetric EGARCH-M model suggests positive volatility-in-mean and level effects in the long-period real gross national product series. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
|---|