CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES

@article{ART001804390},
author={ KIN-YIP HO and Albert K Tsui and Zhaoyong Zhang },
title={CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES},
journal={Journal of Economic Development},
issn={0254-8372},
year={2013},
volume={38},
number={3},
pages={33-55},
doi={10.35866/caujed.2013.38.3.002},
url={http://dx.doi.org/10.35866/caujed.2013.38.3.002}

TY - JOUR
AU - KIN-YIP HO
AU - Albert K Tsui
AU - Zhaoyong Zhang
TI - CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES
T2 - Journal of Economic Development
PY - 2013
VL - 38
IS - 3
PB - 중앙대학교 경제연구소
SP - 33-55
SN - 0254-8372
AB - Most studies of business cycle exclude the dimension of asymmetric conditional volatility. In this paper, we propose three bivariate asymmetric GARCH models to capture the properties of conditional volatility and time-varying conditional correlations of business cycle indicators in four OECD countries. Our study extends the constant conditional correlation framework proposed by Bollerslev (1990) and the time-varying conditional correlation approach by Tse and Tsui (2002), respectively. Using indices of industrial production as proxies for business cycles indicators, we detect statistically significant evidence of asymmetric conditional volatility in the UK and US. Additionally, we find that the conditional correlations are significantly time-varying, and that the strength of varying correlations may be linked to the degree of economic integration between the countries.
KW - Business Cycle Non-Linearities, Constant Correlations, Index of Industrial Production, Multivariate Asymmetric GRACH, Varying-Correlations
DO - 10.35866/caujed.2013.38.3.002
UR - http://dx.doi.org/10.35866/caujed.2013.38.3.002
ER -

KIN-YIP HO , Albert K Tsui and Zhaoyong Zhang (2013). CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES. Journal of Economic Development, 38( 3), 33- 55.

KIN-YIP HO , Albert K Tsui and Zhaoyong Zhang . 2013, “CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES”, Journal of Economic Development, vol. 38, no. 3, pp. 33-55. Available from: doi:10.35866/caujed.2013.38.3.002

KIN-YIP HO Albert K Tsui et al. Zhaoyong Zhang “CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES” Journal of Economic Development 38.3 pp. 33-55 (2013): 33.

KIN-YIP HO , Albert K Tsui , Zhaoyong Zhang . CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES Journal of Economic Development [Internet]. 2013; 38( 3), : 33-55. Available from: doi:10.35866/caujed.2013.38.3.002

KIN-YIP HO , Albert K Tsui and Zhaoyong Zhang . “CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES” Journal of Economic Development 38, no.3 (2013): 33-55. doi: 10.35866/caujed.2013.38.3.002

홈 권호 목록 논문 목록 논문 상세

CONDITIONAL VOLATILITY ASYMMETRY OF BUSINESS CYCLES: EVIDENCE FROM FOUR OECD COUNTRIES

Journal of Economic Development

약어 : JED

2013, vol.38, no.3, pp.33 - 55

DOI : 10.35866/caujed.2013.38.3.002

발행기관 : 중앙대학교 경제연구소

연구분야 : 경제학

KIN-YIP HO¹ , Albert K Tsui² , Zhaoyong Zhang³

¹The Australian National University, Australia

²National University of Singapore

³Edith Cowan University

인용한 논문 수 : - 서지 간략 보기

초록

Most studies of business cycle exclude the dimension of asymmetric conditional volatility. In this paper, we propose three bivariate asymmetric GARCH models to capture the properties of conditional volatility and time-varying conditional correlations of business cycle indicators in four OECD countries. Our study extends the constant conditional correlation framework proposed by Bollerslev (1990) and the time-varying conditional correlation approach by Tse and Tsui (2002), respectively. Using indices of industrial production as proxies for business cycles indicators, we detect statistically significant evidence of asymmetric conditional volatility in the UK and US. Additionally, we find that the conditional correlations are significantly time-varying, and that the strength of varying correlations may be linked to the degree of economic integration between the countries.

키워드

Business Cycle Non-Linearities, Constant Correlations, Index of Industrial Production, Multivariate Asymmetric GRACH, Varying-Correlations

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