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Empirical Economics

Erschienen in:

22.05.2020

Revisiting the link between output growth and volatility: panel GARCH analysis

verfasst von: Pinar Deniz, Thanasis Stengos, M. Ege Yazgan

Erschienen in: Empirical Economics | Ausgabe 2/2021

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Abstract

This paper explores the link between output growth and volatility using several macroeconomic variables for a panel of countries for the period of 1971–2014. Using an augmented panel GARCH-M model, we allow for the first time in the literature for independent variables to be part of the conditional equations. The paper is also novel in terms of encompassing an extensive number of countries and country groups. The relationship between output growth and volatility is observed to vary between different country groups. Empirical findings regarding the effect of exogeneous variables suggest that trade openness contributes to economic growth and institutional quality lowers economic volatility.

Vorheriger Artikel Dynamic linkage between oil prices and exchange rates: new global evidence

Nächster Artikel International confidence spillovers and business cycles in small open economies

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Panel unit root test results are available on demand.

All countries in World Bank database having GDP growth rates available are included.

We assume common effects considering that the panel data consists of similar countries with respect to their development levels and geographical location. We also assume AR(1) process for the mean equations considering that the time frequency is annual and taking into account of the small time span.

RATS codes GARCHMV.PRG are used and revised according to our methodology.

Estimates are small and they may be economically insignificant.

http://unctadstat.unctad.org/EN/Classifications/UnctadStat.EconomicGroupings.Criterias_EN.pdf.

https://www.msci.com/acwi.

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Titel: Revisiting the link between output growth and volatility: panel GARCH analysis
verfasst von: Pinar Deniz
Thanasis Stengos
M. Ege Yazgan
Publikationsdatum: 22.05.2020
Verlag: Springer Berlin Heidelberg
Erschienen in: Empirical Economics / Ausgabe 2/2021
Print ISSN: 0377-7332
Elektronische ISSN: 1435-8921
DOI: https://doi.org/10.1007/s00181-020-01878-4

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