Time series evidence on the linkage between the volatility and growth of output

被引：6

作者：

Beaumont, Paul M. ^{[1
]}

Norrbin, Stefan C. ^{[1
]}

Yigit, F. Pinar ^{[2
]}

机构：

[1] Florida State Univ, Dept Econ, Tallahassee, FL 32306 USA

[2] Cent Bank Republ Turkey, Ankara, Turkey

来源：

APPLIED ECONOMICS LETTERS | 2008年 / 15卷 / 01期

关键词：

D O I：

10.1080/13504850600607446

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Prior research on the relationship between volatility and growth has produced mixed results. However, the times series research has only been done for a few countries, namely the United States, United Kingdom and Japan. We extend the prior research by performing a systematic search over several GARCH in mean model specifications, including nonGaussian and asymmetric GARCH models, for 20 OECD countries. The results indicate very little evidence of any connection between volatility and growth.

引用

页码：45 / 48

页数：4

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