Revisiting the link between output growth and volatility: panel GARCH analysis
Küçük Resim Yok
Tarih
2021
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Physica-Verlag Gmbh & Co
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
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.
Açıklama
Anahtar Kelimeler
Growth, Volatility, Panel Garch-M Model, Economic-Growth, Cross-Country, Uncertainty, Institutions, Inflation, Trade, Variability, Openness, Real, Integration
Kaynak
Empirical Economics
WoS Q Değeri
Q3
Scopus Q Değeri
Q1
Cilt
61
Sayı
2
